findstartparamyields: Find Globally Optimal Start Parameters

In changshun/termstrc: Zero-coupon Yield Curve Estimation

Description

Start parameter search routine for term structure estimation based on a yield data set. The algorithm searches for the parameters over a grid spanned over tau1 (tau2).

Usage

findstartparamyields(y,m, method, tauconstr, 
control = list(), outer.iterations = 30, outer.eps = 1e-04)

Arguments

y	yields
m	maturities
method	type of spot rate function
tauconstr	tau parameter constraints
control	solver control parameters, for details see optim
outer.iterations	see constrOptim
outer.eps	see constrOptim

Details

Used as internal helper function

Value

Returns an object of the class "spsearch", which includes the startparameters and details concerning the optimization.

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