postpro_bond: Post Processing of Term Structure Estimation Results

In changshun/termstrc: Zero-coupon Yield Curve Estimation

Description

The function calculates based on the term structure estimation results the errors for prices and yields and differnt curves (spot, forward, discount curve).

Usage

postpro_bond(opt_result, m, cf, sgroup, n_group, y, p,
 ac, m_p, method, lambda)

Arguments

opt_result	parameter vector
m	maturities matrices
cf	cahsflows matrices
sgroup	sequence of the group length
n_group	lenght of the group
y	yield-to-maturity matrices
p	dirty price vectors
ac	accrued interest vectors
m_p	maturity matrices including the maturities for the current dirty prices
method	form of the spot rate function
lambda	additional paramter for the Diebold/Li spot rate function

Note

Used as internal helper function

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