Nelson/Siegel Gradient Function

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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

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