Man pages for changshun/termstrc
Zero-coupon Yield Curve Estimation

aabseAverage Absolute Mean Error
bond_pricesBond Price Calculation
bond_yieldsBond Yield Calculation
create_cashflows_matrixCashflows Matrix Creation
create_maturities_matrixMaturity Matrix Creation
cSumsForm Column Sums
datadyncouponbondsGerman Government Bond Data Set
durationDuration, modified Duration and Duration based Weights
estimateyieldcurveEstimate Zero-coupon Yield Curves
estimatezcyieldcurveEstimate Zero-coupon Yield Curves
estim_csCubic Splines Term Structure Estimation
estim_cs.couponbondsS3 Estim_cs Method
estim_nssParametric Term Structure Estimation
estim_nss.couponbondsS3 Estim_nss Method
estim_nss.dyncouponbondsS3 Estim_nss method
estim_nss.zeroyieldsS3 estim_nss Method
fcontribPlot Factor Contribution
fcontrib.dyntermstrc_paramS3 fcontrib Method
findstartparambondsFind Globally Optimal Startparameters
findstartparamyieldsFind Globally Optimal Start Parameters
forwardratesForward Rate Calculation
fwr_asvForward Rate Calculation according to an adjusted Svensson...
fwr_dlForward Rate Calculation according to Diebold/Li.
fwr_nsForward Rate Calculation according to Nelson/Siegel.
fwr_svForward Rate Calculation according to Svensson (1994).
get_constraintsConstraints Selection
get_grad_objfctGradient Selection Function
get_grad_objfct_bondsGradient Selection Function
get_objfctObjective Function Selection
get_objfct_bondsObjective Function Selection
get_paramnamesParameter Names
get_realnamesName Conversion
giCubic Functions
govbondsEuropean Government Bonds
grad_asvGradient of the adjusted Svensson Loss Function for Yields
grad_asv_bondsadjusted Svensson Gradient Function
grad_asv_bonds_gridadjusted Svensson Gradient Function for the Grid Search
grad_asv_gridAdjusted Svensson Gradient Function for the Grid Search
grad_dlGradient of the Diebold/Li Loss Function for Yields
grad_dl_bondsDiebold/Li Gradient function
grad_nsGradient of the Nelson/Siegel Loss Function for Yields
grad_ns_bondsNelson/Siegel Gradient Function
grad_ns_bonds_gridNelson/Siegel Gradient Function for the Grid Search
grad_ns_gridNelson/Siegel Gradient Function for the Grid Search
grad_svGradient of the Svensson Loss Function for Yields
grad_sv_bondsSvensson Gradient Function
grad_sv_bonds_gridSvensson Gradient Function for the Grid Search
grad_sv_gridSvensson Gradient Function for the Grid Search
impl_fwrImplied Forward Rate Calculation
loss_functionLoss Function used for the Term Structure Estimation
maturity_rangeRestricting a Bond Dataset
objfct_asvAdjusted Svensson Loss Function for Yields
objfct_asv_bondsAdjusted Svensson Loss Function for Bonds
objfct_asv_bonds_gridAdjusted Svensson Grid Loss Function for Bonds
objfct_asv_gridAdjusted Svensson Grid Loss Function for Yields
objfct_dlDiebold/Li Loss Function for Yields
objfct_dl_bondsDiebold/Li Loss Function for Bonds
objfct_nsNelson/Siegel Loss Function for Yields
objfct_ns_bondsNelson/Siegel Loss Function for Bonds
objfct_ns_bonds_gridNelson/Siegel Grid Loss Function for Bonds
objfct_ns_gridNelson/Siegel Grid Loss Function for Yields
objfct_svSvensson Loss Function for Yields
objfct_sv_bondsSvensson Loss Function for Bonds
objfct_sv_bonds_gridSvensson Grid Loss Function for Bonds
objfct_sv_gridSvensson Grid Loss Function for Bonds
paramTerm Structure Parameter Extraction
param.dyntermstrc_nssS3 Param Method
param.dyntermstrc_yieldsS3 Param Method
plot.df_curvesS3 Plot Method
plot.dyntermstrc_nssS3 Plot Method
plot.dyntermstrc_paramS3 Plot Method
plot.dyntermstrc_yieldsS3 Plot Method
plot.errorS3 Plot Method
plot.fwr_curvesS3 Plot Method
plot.ir_curveS3 Plot Method
plot.s_curvesS3 Plot Method
plot.spot_curvesS3 Plot Method
plot.spsearchS3 Plot Method
plot.termstrc_csS3 Plot Method for Cubic Splines
plot.termstrc_nssS3 Plot Method
plot.zeroyieldsS3 Plot Method
postpro_bondPost Processing of Term Structure Estimation Results
prepro_bondBonddata preprocess function
print.couponbondsS3 Print Method
print.dyncouponbondsS3 Print Method
print.dyntermstrc_nssS3 Print Method
print.dyntermstrc_yieldsS3 Print Method
print.summary.dyntermstrc_nssS3 Print Method
print.summary.dyntermstrc_paramS3 Print Method
print.summary.dyntermstrc_yieldsS3 Print Method
print.summary.termstrc_csS3 Print Method
print.summary.termstrc_nssS3 Print Method
print.termstrc_csS3 Print Method for termstrc_cs
print.termstrc_nssS3 Print Method
print.zeroyieldsS3 Print Method
rm_bondBond Removal Function
rm_bond.couponbondsS3 Remove Bond Method
rm_bond.dyncouponbondsS3 Remove Bond Method
rmseRoot Mean Squared Error
spotratesFunction for the Calculation of the Spot Rates
spr_asvAdjusted Svensson Spot rate function
spr_dlSpot Rate Function according to the Diebold and Li Version of...
spr_nsSpot Rate Function according to Nelson and Siegel
spr_svSpot Rate Function according to Svensson
summary.dyntermstrc_nssS3 Summary Method
summary.dyntermstrc_paramS3 Summary Method
summary.dyntermstrc_yieldsS3 Summary Method
summary.termstrc_csS3 Summary Method for Termstrc_cs
summary.termstrc_nssS3 Summary Method
summary.zeroyieldsS3 Summary Method
termstrc-packageZero-coupon Yield Curve Estimation
zeroyieldsZeroyields Data Set Generation
zyieldsZero Coupon Yield Data Set
changshun/termstrc documentation built on May 12, 2017, 2:17 a.m.