findstartparambonds: Find Globally Optimal Startparameters

In termstrc: Zero-coupon Yield Curve Estimation

Description

Start parameter search routine for term structure estimation based on a coupon bond data set. The algorithm searches for the parameters over a grid spanned over tau1 (tau2).

Usage

findstartparambonds(p, m, cf, weights, method, tauconstr,
 control = list(), outer.iterations = 30, outer.eps = 1e-04)

Arguments

p	price vector
m	maturites matrix
cf	cashflows matrix
weights	duration based weights
method	form of the spot rate function
tauconstr
control	solver control parameters, for details see optim
outer.iterations	see constrOptim
outer.eps	see constrOptim

Details

Used as internal helper function

Value

Returns an object of the class "spsearch", which includes the startparameters and details concerning the optimization.

termstrc documentation built on May 29, 2017, 1:05 p.m.