Nelson/Siegel Gradient Function for the Grid Search

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Description

Calculates the gradient of the objective function for the grid search. The objective function minimizes the sum of the squared yield errors. The spot rate function is based on Nelson/Siegel.

Usage

1
grad_ns_grid(beta, tau, m, y)

Arguments

beta

Spot rate function parameter vector

tau

fixed parameters

m

maturity vector

y

yield vector

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