grad_asv_grid: Adjusted Svensson Gradient Function for the Grid Search
In changshun/termstrc: Zero-coupon Yield Curve Estimation
Description
Calculates the gradient of the objective function for the grid search. The objective function minimizes the sum of the squared yield errors. The spot rate function is based on the adjusted version of Svensson.
Usage
1
grad_asv_grid(beta, tau, m, y)
Arguments
beta
Spot rate function parameter vector
tau
fixed parameters
m
maturity vector
y
yield vector
changshun/termstrc documentation built on May 13, 2019, 3:24 p.m.
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Description
Calculates the gradient of the objective function for the grid search. The objective function minimizes the sum of the squared yield errors. The spot rate function is based on the adjusted version of Svensson.
Usage
1 | grad_asv_grid(beta, tau, m, y)
|
Arguments
beta |
Spot rate function parameter vector |
tau |
fixed parameters |
m |
maturity vector |
y |
yield vector |
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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