Description Usage Arguments Details Value Note References See Also Examples
S3 estim.cs method for an object of the class "couponbonds"
. The method estimates the discount curve with the cubic splines approach by McCulloch (1975).
1 2 |
bonddata |
a data set of bonds in list format. |
group |
vector defining the group of bonds used for the estimation, e.g., |
matrange |
use |
rse |
|
group
The first element of the vector will be used as the
reference country for the spread curve calculation.
group
can be either a vector of bond groups or a scalar.
bonddata
The package is designed to work with a certain list data structure. For more information use the function str()
to explore the structure of the example data sets.
The function returns an object of the class "termstrc_cs"
. The object
contains the following items (mainly lists):
group |
group of bonds (e.g. countries) used for the estimation. |
matrange |
|
n_group |
length of object |
knotpoints |
selected knot points for the cubic splines estimation. |
spot |
zero-coupon yield curves as object of the class |
spread |
spread curves as object of the class |
forward |
forward curves as object of the class |
discount |
discount curves as object of the class |
cf |
cashflow matrices. |
m |
maturity matrices. |
p |
dirty prices. |
phat |
estimated bond prices. |
perrors |
pricing errors and maturities as object of the class |
y |
bond yields. |
yhat |
one list for each group with the theoretical bond yields calculated with the estimated bond prices |
yerrors |
yield errors and maturities as object of the class |
alpha |
OLS coefficients of cubic splines estimation. |
regout |
OLS estimation results as object of the class |
rse |
robust standard errors for confidence interval calculation |
For objects of the class "spot_curves"
,
"s_curves"
, "df_curves"
, "fwr_curves"
, "error"
appropriate plot methods are offered. For objects of the list item regout
standard lm
methods apply. For objects of the class "termstrc_cs"
print, summary and plot methods are available. Another term structure estimation method is provided by the method
estim_nss.couponbonds
.
J.Huston McCulloch (1971): Measuring the Term Structure of Interest Rates. The Journal of Business, 44 19–31.
J. Huston McCulloch (1975): The Tax-Adjusted Yield Curve. The Journal of Finance, 30 811–830.
print.termstrc_cs
, summary.termstrc_cs
, plot.termstrc_cs
,
estim_nss.couponbonds
, plot.spot_curves
, plot.s_curves
, plot.df_curves
,
plot.fwr_curves
, plot.error
, summary.lm
, plot.lm
.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 | # load data set
data(govbonds)
# define countries, for which the estimation
# of the zero-coupon yield curves will be carried out
group <- c("GERMANY", "AUSTRIA")
# set maturtiy range
matrange <- c(0, 19)
# perform estimation
x <- estim_cs(govbonds, group, matrange)
# print the obtained parameters of the estimation
print(x)
# goodness of fit measures
summary(x)
# plot the zero-coupon yield curve for each country
plot(x,errors="none")
# plot all zero-coupon yield curves together
plot(x,multiple=TRUE,errors="none")
# spread curve splot
plot(x,ctype="spread",errors="none")
# price error plot for all countries
plot(x,ctype="none")
|
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