loss_function: Loss Function used for the Term Structure Estimation
In changshun/termstrc: Zero-coupon Yield Curve Estimation
Description
The loss function defines the objective function used for the optimisation. In case of term structure estimation
the objective function is the sum of the weighted squared price errors.
Usage
1
loss_function(p, phat, omega)
Arguments
p
vector of observed prices.
phat
vector of estimated prices.
omega
weights vector, e.g., duration based weights.
changshun/termstrc documentation built on May 13, 2019, 3:24 p.m.
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.
Description
The loss function defines the objective function used for the optimisation. In case of term structure estimation the objective function is the sum of the weighted squared price errors.
Usage
1 | loss_function(p, phat, omega)
|
Arguments
p |
vector of observed prices. |
phat |
vector of estimated prices. |
omega |
weights vector, e.g., duration based weights. |
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.