termstrc: Zero-coupon Yield Curve Estimation

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The package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. The implementation focuses on the cubic splines approach of McCulloch (1971, 1975) and the Nelson and Siegel (1987) method with extensions by Svensson (1994), Diebold and Li (2006) and De Pooter (2007). We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Extensive summary statistics and plots are provided to compare the results of the different estimation methods. Several demos are available using data from European government bonds and yields.

Author
Robert Ferstl, Josef Hayden
Date of publication
2013-11-04 20:20:11
Maintainer
Josef Hayden <josef.hayden@gmail.com>
License
GPL (>= 2)
Version
1.3.7
URLs

View on CRAN

Man pages

aabse
Average Absolute Mean Error
bond_prices
Bond Price Calculation
bond_yields
Bond Yield Calculation
create_cashflows_matrix
Cashflows Matrix Creation
create_maturities_matrix
Maturity Matrix Creation
cSums
Form Column Sums
datadyncouponbonds
German Government Bond Data Set
duration
Duration, modified Duration and Duration based Weights
estimateyieldcurve
Estimate Zero-coupon Yield Curves
estimatezcyieldcurve
Estimate Zero-coupon Yield Curves
estim_cs
Cubic Splines Term Structure Estimation
estim_cs.couponbonds
S3 Estim_cs Method
estim_nss
Parametric Term Structure Estimation
estim_nss.couponbonds
S3 Estim_nss Method
estim_nss.dyncouponbonds
S3 Estim_nss method
estim_nss.zeroyields
S3 estim_nss Method
fcontrib
Plot Factor Contribution
fcontrib.dyntermstrc_param
S3 fcontrib Method
findstartparambonds
Find Globally Optimal Startparameters
findstartparamyields
Find Globally Optimal Start Parameters
forwardrates
Forward Rate Calculation
fwr_asv
Forward Rate Calculation according to an adjusted Svensson...
fwr_dl
Forward Rate Calculation according to Diebold/Li.
fwr_ns
Forward Rate Calculation according to Nelson/Siegel.
fwr_sv
Forward Rate Calculation according to Svensson (1994).
get_constraints
Constraints Selection
get_grad_objfct
Gradient Selection Function
get_grad_objfct_bonds
Gradient Selection Function
get_objfct
Objective Function Selection
get_objfct_bonds
Objective Function Selection
get_paramnames
Parameter Names
get_realnames
Name Conversion
gi
Cubic Functions
govbonds
European Government Bonds
grad_asv
Gradient of the adjusted Svensson Loss Function for Yields
grad_asv_bonds
adjusted Svensson Gradient Function
grad_asv_bonds_grid
adjusted Svensson Gradient Function for the Grid Search
grad_asv_grid
Adjusted Svensson Gradient Function for the Grid Search
grad_dl
Gradient of the Diebold/Li Loss Function for Yields
grad_dl_bonds
Diebold/Li Gradient function
grad_ns
Gradient of the Nelson/Siegel Loss Function for Yields
grad_ns_bonds
Nelson/Siegel Gradient Function
grad_ns_bonds_grid
Nelson/Siegel Gradient Function for the Grid Search
grad_ns_grid
Nelson/Siegel Gradient Function for the Grid Search
grad_sv
Gradient of the Svensson Loss Function for Yields
grad_sv_bonds
Svensson Gradient Function
grad_sv_bonds_grid
Svensson Gradient Function for the Grid Search
grad_sv_grid
Svensson Gradient Function for the Grid Search
impl_fwr
Implied Forward Rate Calculation
loss_function
Loss Function used for the Term Structure Estimation
maturity_range
Restricting a Bond Dataset
objfct_asv
Adjusted Svensson Loss Function for Yields
objfct_asv_bonds
Adjusted Svensson Loss Function for Bonds
objfct_asv_bonds_grid
Adjusted Svensson Grid Loss Function for Bonds
objfct_asv_grid
Adjusted Svensson Grid Loss Function for Yields
objfct_dl
Diebold/Li Loss Function for Yields
objfct_dl_bonds
Diebold/Li Loss Function for Bonds
objfct_ns
Nelson/Siegel Loss Function for Yields
objfct_ns_bonds
Nelson/Siegel Loss Function for Bonds
objfct_ns_bonds_grid
Nelson/Siegel Grid Loss Function for Bonds
objfct_ns_grid
Nelson/Siegel Grid Loss Function for Yields
objfct_sv
Svensson Loss Function for Yields
objfct_sv_bonds
Svensson Loss Function for Bonds
objfct_sv_bonds_grid
Svensson Grid Loss Function for Bonds
objfct_sv_grid
Svensson Grid Loss Function for Bonds
param
Term Structure Parameter Extraction
param.dyntermstrc_nss
S3 Param Method
param.dyntermstrc_yields
S3 Param Method
plot.df_curves
S3 Plot Method
plot.dyntermstrc_nss
S3 Plot Method
plot.dyntermstrc_param
S3 Plot Method
plot.dyntermstrc_yields
S3 Plot Method
plot.error
S3 Plot Method
plot.fwr_curves
S3 Plot Method
plot.ir_curve
S3 Plot Method
plot.s_curves
S3 Plot Method
plot.spot_curves
S3 Plot Method
plot.spsearch
S3 Plot Method
plot.termstrc_cs
S3 Plot Method for Cubic Splines
plot.termstrc_nss
S3 Plot Method
plot.zeroyields
S3 Plot Method
postpro_bond
Post Processing of Term Structure Estimation Results
prepro_bond
Bonddata preprocess function
print.couponbonds
S3 Print Method
print.dyncouponbonds
S3 Print Method
print.dyntermstrc_nss
S3 Print Method
print.dyntermstrc_yields
S3 Print Method
print.summary.dyntermstrc_nss
S3 Print Method
print.summary.dyntermstrc_param
S3 Print Method
print.summary.dyntermstrc_yields
S3 Print Method
print.summary.termstrc_cs
S3 Print Method
print.summary.termstrc_nss
S3 Print Method
print.termstrc_cs
S3 Print Method for termstrc_cs
print.termstrc_nss
S3 Print Method
print.zeroyields
S3 Print Method
rm_bond
Bond Removal Function
rm_bond.couponbonds
S3 Remove Bond Method
rm_bond.dyncouponbonds
S3 Remove Bond Method
rmse
Root Mean Squared Error
spotrates
Function for the Calculation of the Spot Rates
spr_asv
Adjusted Svensson Spot rate function
spr_dl
Spot Rate Function according to the Diebold and Li Version of...
spr_ns
Spot Rate Function according to Nelson and Siegel
spr_sv
Spot Rate Function according to Svensson
summary.dyntermstrc_nss
S3 Summary Method
summary.dyntermstrc_param
S3 Summary Method
summary.dyntermstrc_yields
S3 Summary Method
summary.termstrc_cs
S3 Summary Method for Termstrc_cs
summary.termstrc_nss
S3 Summary Method
summary.zeroyields
S3 Summary Method
termstrc-package
Zero-coupon Yield Curve Estimation
zeroyields
Zeroyields Data Set Generation
zyields
Zero Coupon Yield Data Set

Files in this package

termstrc
termstrc/inst
termstrc/inst/CITATION
termstrc/src
termstrc/src/Makevars
termstrc/src/objfcts.cpp
termstrc/src/Makevars.win
termstrc/NAMESPACE
termstrc/demo
termstrc/demo/nss_dynamic.R
termstrc/demo/nss_static.R
termstrc/demo/00Index
termstrc/demo/zeroyields.R
termstrc/demo/csplines.R
termstrc/data
termstrc/data/zyields.csv.xz
termstrc/data/datadyncouponbonds.RData
termstrc/data/govbonds.RData
termstrc/R
termstrc/R/methods_zeroyields.R
termstrc/R/methods_termstrc_cs.R
termstrc/R/create_cf_m.R
termstrc/R/methods_dyntermstrc_yields.R
termstrc/R/cubicfunc.R
termstrc/R/methods_dyntermstrc_param.R
termstrc/R/estim_nss_zeroyields.R
termstrc/R/spotfwdratedef.R
termstrc/R/couponbonds_data.R
termstrc/R/estim_cs.R
termstrc/R/bondpricing.R
termstrc/R/gradfunc.R
termstrc/R/methods_couponbonds.R
termstrc/R/methods_curves.R
termstrc/R/estim_nss_dyncouponbonds.R
termstrc/R/methods_termstrc_nss.R
termstrc/R/methods_dyntermstrc_nss.R
termstrc/R/gof.R
termstrc/R/estim_nss_couponbonds.R
termstrc/MD5
termstrc/DESCRIPTION
termstrc/man
termstrc/man/print.termstrc_nss.Rd
termstrc/man/aabse.Rd
termstrc/man/summary.termstrc_nss.Rd
termstrc/man/grad_sv_grid.Rd
termstrc/man/grad_ns_grid.Rd
termstrc/man/postpro_bond.Rd
termstrc/man/spotrates.Rd
termstrc/man/grad_sv_bonds.Rd
termstrc/man/objfct_asv.Rd
termstrc/man/param.dyntermstrc_yields.Rd
termstrc/man/print.summary.dyntermstrc_yields.Rd
termstrc/man/print.dyntermstrc_nss.Rd
termstrc/man/forwardrates.Rd
termstrc/man/estim_cs.couponbonds.Rd
termstrc/man/print.zeroyields.Rd
termstrc/man/objfct_sv_bonds_grid.Rd
termstrc/man/estim_nss.Rd
termstrc/man/rmse.Rd
termstrc/man/get_grad_objfct.Rd
termstrc/man/print.summary.dyntermstrc_nss.Rd
termstrc/man/grad_asv.Rd
termstrc/man/param.Rd
termstrc/man/estim_nss.dyncouponbonds.Rd
termstrc/man/zeroyields.Rd
termstrc/man/objfct_asv_bonds.Rd
termstrc/man/impl_fwr.Rd
termstrc/man/objfct_dl.Rd
termstrc/man/fwr_sv.Rd
termstrc/man/fwr_asv.Rd
termstrc/man/objfct_sv_grid.Rd
termstrc/man/print.dyntermstrc_yields.Rd
termstrc/man/plot.termstrc_cs.Rd
termstrc/man/print.summary.termstrc_nss.Rd
termstrc/man/print.termstrc_cs.Rd
termstrc/man/rm_bond.Rd
termstrc/man/objfct_dl_bonds.Rd
termstrc/man/bond_yields.Rd
termstrc/man/grad_asv_grid.Rd
termstrc/man/get_objfct_bonds.Rd
termstrc/man/fwr_dl.Rd
termstrc/man/spr_ns.Rd
termstrc/man/grad_dl_bonds.Rd
termstrc/man/print.dyncouponbonds.Rd
termstrc/man/plot.dyntermstrc_yields.Rd
termstrc/man/plot.ir_curve.Rd
termstrc/man/plot.dyntermstrc_nss.Rd
termstrc/man/plot.termstrc_nss.Rd
termstrc/man/summary.zeroyields.Rd
termstrc/man/govbonds.Rd
termstrc/man/rm_bond.couponbonds.Rd
termstrc/man/create_maturities_matrix.Rd
termstrc/man/spr_dl.Rd
termstrc/man/maturity_range.Rd
termstrc/man/plot.error.Rd
termstrc/man/estimateyieldcurve.Rd
termstrc/man/param.dyntermstrc_nss.Rd
termstrc/man/print.summary.dyntermstrc_param.Rd
termstrc/man/grad_asv_bonds_grid.Rd
termstrc/man/grad_ns_bonds_grid.Rd
termstrc/man/plot.dyntermstrc_param.Rd
termstrc/man/get_constraints.Rd
termstrc/man/summary.dyntermstrc_yields.Rd
termstrc/man/spr_asv.Rd
termstrc/man/objfct_sv_bonds.Rd
termstrc/man/objfct_ns_bonds.Rd
termstrc/man/grad_dl.Rd
termstrc/man/datadyncouponbonds.Rd
termstrc/man/plot.s_curves.Rd
termstrc/man/plot.fwr_curves.Rd
termstrc/man/plot.zeroyields.Rd
termstrc/man/create_cashflows_matrix.Rd
termstrc/man/rm_bond.dyncouponbonds.Rd
termstrc/man/zyields.Rd
termstrc/man/fwr_ns.Rd
termstrc/man/print.couponbonds.Rd
termstrc/man/objfct_asv_bonds_grid.Rd
termstrc/man/get_realnames.Rd
termstrc/man/termstrc-package.Rd
termstrc/man/spr_sv.Rd
termstrc/man/grad_ns.Rd
termstrc/man/objfct_ns_grid.Rd
termstrc/man/plot.df_curves.Rd
termstrc/man/objfct_ns.Rd
termstrc/man/objfct_ns_bonds_grid.Rd
termstrc/man/findstartparambonds.Rd
termstrc/man/grad_asv_bonds.Rd
termstrc/man/estim_cs.Rd
termstrc/man/prepro_bond.Rd
termstrc/man/duration.Rd
termstrc/man/findstartparamyields.Rd
termstrc/man/summary.dyntermstrc_param.Rd
termstrc/man/grad_sv_bonds_grid.Rd
termstrc/man/plot.spot_curves.Rd
termstrc/man/grad_sv.Rd
termstrc/man/get_paramnames.Rd
termstrc/man/get_objfct.Rd
termstrc/man/gi.Rd
termstrc/man/objfct_asv_grid.Rd
termstrc/man/fcontrib.dyntermstrc_param.Rd
termstrc/man/estim_nss.couponbonds.Rd
termstrc/man/get_grad_objfct_bonds.Rd
termstrc/man/plot.spsearch.Rd
termstrc/man/grad_ns_bonds.Rd
termstrc/man/summary.termstrc_cs.Rd
termstrc/man/summary.dyntermstrc_nss.Rd
termstrc/man/estim_nss.zeroyields.Rd
termstrc/man/objfct_sv.Rd
termstrc/man/loss_function.Rd
termstrc/man/fcontrib.Rd
termstrc/man/bond_prices.Rd
termstrc/man/estimatezcyieldcurve.Rd
termstrc/man/print.summary.termstrc_cs.Rd
termstrc/man/cSums.Rd