estim_nss.dyncouponbonds: S3 Estim_nss method

Description Usage Arguments Details Value See Also Examples

Description

The method performs an iterative term structure estimation procedure on a dynamic bond data set of the class "dyncouponbonds". Available methods are Nelson/Siegel, Diebold/Li and (adjusted) Svensson.

Usage

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## S3 method for class 'dyncouponbonds'
estim_nss(dataset, group, matrange = "all", method = "ns",
 lambda = 0.0609 * 12, tauconstr = NULL, optimtype = "firstglobal", 
constrOptimOptions = list(control = list(maxit = 2000), 
outer.iterations = 200, outer.eps = 1e-04), ...)

Arguments

dataset

dynamic bond data set of the class "dyncouponbonds".

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 (in years) used for the estimation with c(lower,upper).

method

"ns" for Nelson/Siegel (default), "dl" for Diebold/Li, "sv" for Svensson or "asv" for adjusted Svensson.

lambda

parameter on a yearly time scale with fixed value for "dl" spot rate function (default: 0.0609*12)

tauconstr
optimtype

use "firstglobal" for an inital search for globally optimal start parameters or "allglobal" for a search at every iteration.

constrOptimOptions

list with solver control parameters (default: control=list(), outer.interations=30, outer.eps.=1e-04). For further documentation please refer to optim

...

further arguments

Details

The method iteratively applies the method "estim_nss.couponbonds".

Value

The method returns an object of the class "dyntermstrc_nss". The object is a list with sublists of the class "termstrc_nss".

See Also

estim_nss.couponbonds

Examples

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## Run: demos(nss_dynamic)

changshun/termstrc documentation built on May 13, 2019, 3:24 p.m.