Description Usage Arguments Value References Examples
The method performs an iterative term structure estimation procedure on a dynamic yield data set of the class "zeroyields"
. Available methods are Nelson/Siegel, Diebold/Li and (adjusted) Svensson.
1 2 3 4 5 |
dataset |
dynamic bond data set of the class |
method |
|
lambda |
parameter on a yearly time scale with fixed value for |
tauconstr |
This is vector with parameters for the grid search procedure containing: For parametrizations except Diebold/Li, a grid search for the tau-parameter is performed. The parameters must lie within the following bounds. lower bound < [tau_1, tau_2] < upper bound The width of the grid is given by gridsize. tau_2 - tau_1 > taudistance (upper bound, lower bound, gridsize, tau distance) |
optimtype |
use |
constrOptimOptions |
list with solver control parameters
(default: control=list(), outer.interations=30,
outer.eps.=1e-04). For further documentation please refer to
|
... |
further arguments |
The method returns an object of the class
"dyntermstrc_yields"
. There are print, plot and summary method available.
Michiel De Pooter (2007): Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performance, Working paper.
F.X. Diebold and C. Li: Forecasting the Term Structure of Government Bond Yields. Journal of Econometrics, 130:337–364.
Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4):473–489.
Lars E.O. Svensson (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.
1 | ## Run: demo(zeroyields)
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