grad_ns_bonds: Nelson/Siegel Gradient Function

Description Usage Arguments Value

View source: R/gradfunc.R

Description

Calculates the gradient of the objective function. The objective function minimizes the sum of the weighted squared price errors. The spot rate function is based on Nelson/Siegel.

Usage

1
grad_ns_bonds(beta, m, cf, w, p)

Arguments

beta

Spot rate parameter vector

m

maturity matrix

cf

cashflow matrix

w

weights vector

p

price vector

Value

returns the gradient vector


termstrc documentation built on May 19, 2017, 10:49 a.m.

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