estim_cs.couponbonds: S3 Estim_cs Method
In changshun/termstrc: Zero-coupon Yield Curve Estimation

Description Usage Arguments Details Value Note References See Also Examples

S3 estim.cs method for an object of the class "couponbonds". The method estimates the discount curve with the cubic splines approach by McCulloch (1975).

1 2	## S3 method for class 'couponbonds' estim_cs(bonddata, group, matrange = "all", rse = TRUE)

`bonddata`	a data set of bonds in list format.
`group`	vector defining the group of bonds used for the estimation, e.g., `c("GERMANY","AUSTRIA")`.
`matrange`	use `"all"` for no restrictions, or restrict the maturity range used for the estimation with `c(lower,upper)`.
`rse`	`TRUE` (default) calculates robust standard erros for the confidence intervalls of the discount curve

groupThe first element of the vector will be used as the reference country for the spread curve calculation. group can be either a vector of bond groups or a scalar.
bonddataThe package is designed to work with a certain list data structure. For more information use the function str() to explore the structure of the example data sets.

The function returns an object of the class "termstrc_cs". The object contains the following items (mainly lists):

`group`	group of bonds (e.g. countries) used for the estimation.
`matrange`	`"none"` or a vector with the maturity range.
`n_group`	length of object `group`, i.e. the number of countries.
`knotpoints`	selected knot points for the cubic splines estimation.
`spot`	zero-coupon yield curves as object of the class `"spot_curves"`.
`spread`	spread curves as object of the class `"s_curves"`.
`forward`	forward curves as object of the class `"fwr_curves"`.
`discount`	discount curves as object of the class `"df_curves"`.
`cf`	cashflow matrices.
`m`	maturity matrices.
`p`	dirty prices.
`phat`	estimated bond prices.
`perrors`	pricing errors and maturities as object of the class `"error"`.
`y`	bond yields.
`yhat`	one list for each group with the theoretical bond yields calculated with the estimated bond prices `phat`.
`yerrors`	yield errors and maturities as object of the class `"error"`.
`alpha`	OLS coefficients of cubic splines estimation.
`regout`	OLS estimation results as object of the class `"lm"`.
`rse`	robust standard errors for confidence interval calculation

For objects of the class "spot_curves", "s_curves", "df_curves", "fwr_curves", "error" appropriate plot methods are offered. For objects of the list item regout standard lm methods apply. For objects of the class "termstrc_cs" print, summary and plot methods are available. Another term structure estimation method is provided by the method

estim_nss.couponbonds.

J.Huston McCulloch (1971): Measuring the Term Structure of Interest Rates. The Journal of Business, 44 19–31.

J. Huston McCulloch (1975): The Tax-Adjusted Yield Curve. The Journal of Finance, 30 811–830.

print.termstrc_cs, summary.termstrc_cs, plot.termstrc_cs,

estim_nss.couponbonds, plot.spot_curves, plot.s_curves, plot.df_curves,

plot.fwr_curves, plot.error, summary.lm, plot.lm.

# load data set
data(govbonds)

# define countries, for which the estimation 
# of the zero-coupon yield curves will be carried out
group <- c("GERMANY", "AUSTRIA")

# set maturtiy range
matrange <- c(0, 19)  

# perform estimation
x <- estim_cs(govbonds, group, matrange)

# print the obtained parameters of the estimation
print(x)

# goodness of fit measures
summary(x)

# plot the zero-coupon yield curve for each country
plot(x,errors="none")

# plot all zero-coupon yield curves together
plot(x,multiple=TRUE,errors="none")

# spread curve splot
plot(x,ctype="spread",errors="none")

# price error plot for all countries
plot(x,ctype="none")