loss_function: Loss Function used for the Term Structure Estimation

Description Usage Arguments

Description

The loss function defines the objective function used for the optimisation. In case of term structure estimation the objective function is the sum of the weighted squared price errors.

Usage

1
loss_function(p, phat, omega)

Arguments

p

vector of observed prices.

phat

vector of estimated prices.

omega

weights vector, e.g., duration based weights.



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