grad_sv_bonds: Svensson Gradient Function
In changshun/termstrc: Zero-coupon Yield Curve Estimation
Description
Usage
Arguments
Value
Description
Calculates the gradient of the objective function. The objective function minimizes the sum of the weighted squared price errors. The spot rate function is based on Svensson.
Usage
1
grad_sv_bonds(beta, m, cf, w, p)
Arguments
beta
Spot rate parameter vector
m
maturity matrix
cf
cashflow matrix
w
weights vector
p
price vector
Value
returns the gradient vector
changshun/termstrc documentation built on May 13, 2019, 3:24 p.m.
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Description Usage Arguments Value
Description
Calculates the gradient of the objective function. The objective function minimizes the sum of the weighted squared price errors. The spot rate function is based on Svensson.
Usage
1 | grad_sv_bonds(beta, m, cf, w, p)
|
Arguments
beta |
Spot rate parameter vector |
m |
maturity matrix |
cf |
cashflow matrix |
w |
weights vector |
p |
price vector |
Value
returns the gradient 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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