estimateyieldcurve: Estimate Zero-coupon Yield Curves
In changshun/termstrc: Zero-coupon Yield Curve Estimation
Description
Usage
Arguments
Details
Description
Estimate Zero-coupon Yield curves assuming a certain spot rate function
Usage
1
2
estimateyieldcurve(method, y, m, beta, lambda,
objfct, grad_objfct, constraints, constrOptimOptions)
Arguments
method
form of the spot rate function
y
yields
m
maturities
beta
parameter vector
lambda
parameter for Diebold/Li
objfct
objective function
grad_objfct
grad_objfct
constraints
parameter constraints
constrOptimOptions
solver options
Details
internal helper function
changshun/termstrc documentation built on May 13, 2019, 3:24 p.m.
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Description Usage Arguments Details
Description
Estimate Zero-coupon Yield curves assuming a certain spot rate function
Usage
1 2 | estimateyieldcurve(method, y, m, beta, lambda,
objfct, grad_objfct, constraints, constrOptimOptions)
|
Arguments
method |
form of the spot rate function |
y |
yields |
m |
maturities |
beta |
parameter vector |
lambda |
parameter for Diebold/Li |
objfct |
objective function |
grad_objfct |
grad_objfct |
constraints |
parameter constraints |
constrOptimOptions |
solver options |
Details
internal helper function
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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