estimatezcyieldcurve: Estimate Zero-coupon Yield Curves

Description Usage Arguments Details

Description

Estimate Zero-coupon Yield curves assuming a certain spot rate function

Usage

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estimatezcyieldcurve(method, startparam, lambda, objfct, grad_objfct,
 constraints, constrOptimOptions, m, cf, weights, p)

Arguments

method

form of the spot rate function

startparam

start parameter vector

lambda

parameter for Diebold/Li

objfct

objective function, e.g., sum of the weighted squared price errors

grad_objfct

gradient

constraints

constraints for the solver

constrOptimOptions

solver options

m

maturities

cf

cash flows

weights

weights

p

prices

Details

Used as internal helper function


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