termstrc: Zero-coupon Yield Curve Estimation

The package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. The implementation focuses on the cubic splines approach of McCulloch (1971, 1975) and the Nelson and Siegel (1987) method with extensions by Svensson (1994), Diebold and Li (2006) and De Pooter (2007). We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Extensive summary statistics and plots are provided to compare the results of the different estimation methods. Several demos are available using data from European government bonds and yields.

AuthorRobert Ferstl, Josef Hayden
Date of publication2013-11-04 18:41:30
MaintainerJosef Hayden <josef.hayden@gmail.com>
LicenseGPL (>= 2)

View on R-Forge

Man pages

aabse: Average Absolute Mean Error

bond_prices: Bond Price Calculation

bond_yields: Bond Yield Calculation

create_cashflows_matrix: Cashflows Matrix Creation

create_maturities_matrix: Maturity Matrix Creation

cSums: Form Column Sums

datadyncouponbonds: German Government Bond Data Set

duration: Duration, modified Duration and Duration based Weights

estimateyieldcurve: Estimate Zero-coupon Yield Curves

estimatezcyieldcurve: Estimate Zero-coupon Yield Curves

estim_cs: Cubic Splines Term Structure Estimation

estim_cs.couponbonds: S3 Estim_cs Method

estim_nss: Parametric Term Structure Estimation

estim_nss.couponbonds: S3 Estim_nss Method

estim_nss.dyncouponbonds: S3 Estim_nss method

estim_nss.zeroyields: S3 estim_nss Method

fcontrib: Plot Factor Contribution

fcontrib.dyntermstrc_param: S3 fcontrib Method

findstartparambonds: Find Globally Optimal Startparameters

findstartparamyields: Find Globally Optimal Start Parameters

forwardrates: Forward Rate Calculation

fwr_asv: Forward Rate Calculation according to an adjusted Svensson...

fwr_dl: Forward Rate Calculation according to Diebold/Li.

fwr_ns: Forward Rate Calculation according to Nelson/Siegel.

fwr_sv: Forward Rate Calculation according to Svensson (1994).

get_constraints: Constraints Selection

get_grad_objfct: Gradient Selection Function

get_grad_objfct_bonds: Gradient Selection Function

get_objfct: Objective Function Selection

get_objfct_bonds: Objective Function Selection

get_paramnames: Parameter Names

get_realnames: Name Conversion

gi: Cubic Functions

govbonds: European Government Bonds

grad_asv: Gradient of the adjusted Svensson Loss Function for Yields

grad_asv_bonds: adjusted Svensson Gradient Function

grad_asv_bonds_grid: adjusted Svensson Gradient Function for the Grid Search

grad_asv_grid: Adjusted Svensson Gradient Function for the Grid Search

grad_dl: Gradient of the Diebold/Li Loss Function for Yields

grad_dl_bonds: Diebold/Li Gradient function

grad_ns: Gradient of the Nelson/Siegel Loss Function for Yields

grad_ns_bonds: Nelson/Siegel Gradient Function

grad_ns_bonds_grid: Nelson/Siegel Gradient Function for the Grid Search

grad_ns_grid: Nelson/Siegel Gradient Function for the Grid Search

grad_sv: Gradient of the Svensson Loss Function for Yields

grad_sv_bonds: Svensson Gradient Function

grad_sv_bonds_grid: Svensson Gradient Function for the Grid Search

grad_sv_grid: Svensson Gradient Function for the Grid Search

impl_fwr: Implied Forward Rate Calculation

loss_function: Loss Function used for the Term Structure Estimation

maturity_range: Restricting a Bond Dataset

objfct_asv: Adjusted Svensson Loss Function for Yields

objfct_asv_bonds: Adjusted Svensson Loss Function for Bonds

objfct_asv_bonds_grid: Adjusted Svensson Grid Loss Function for Bonds

objfct_asv_grid: Adjusted Svensson Grid Loss Function for Yields

objfct_dl: Diebold/Li Loss Function for Yields

objfct_dl_bonds: Diebold/Li Loss Function for Bonds

objfct_ns: Nelson/Siegel Loss Function for Yields

objfct_ns_bonds: Nelson/Siegel Loss Function for Bonds

objfct_ns_bonds_grid: Nelson/Siegel Grid Loss Function for Bonds

objfct_ns_grid: Nelson/Siegel Grid Loss Function for Yields

objfct_sv: Svensson Loss Function for Yields

objfct_sv_bonds: Svensson Loss Function for Bonds

objfct_sv_bonds_grid: Svensson Grid Loss Function for Bonds

objfct_sv_grid: Svensson Grid Loss Function for Bonds

param: Term Structure Parameter Extraction

param.dyntermstrc_nss: S3 Param Method

param.dyntermstrc_yields: S3 Param Method

plot.df_curves: S3 Plot Method

plot.dyntermstrc_nss: S3 Plot Method

plot.dyntermstrc_param: S3 Plot Method

plot.dyntermstrc_yields: S3 Plot Method

plot.error: S3 Plot Method

plot.fwr_curves: S3 Plot Method

plot.ir_curve: S3 Plot Method

plot.s_curves: S3 Plot Method

plot.spot_curves: S3 Plot Method

plot.spsearch: S3 Plot Method

plot.termstrc_cs: S3 Plot Method for Cubic Splines

plot.termstrc_nss: S3 Plot Method

plot.zeroyields: S3 Plot Method

postpro_bond: Post Processing of Term Structure Estimation Results

prepro_bond: Bonddata preprocess function

print.couponbonds: S3 Print Method

print.dyncouponbonds: S3 Print Method

print.dyntermstrc_nss: S3 Print Method

print.dyntermstrc_yields: S3 Print Method

print.summary.dyntermstrc_nss: S3 Print Method

print.summary.dyntermstrc_param: S3 Print Method

print.summary.dyntermstrc_yields: S3 Print Method

print.summary.termstrc_cs: S3 Print Method

print.summary.termstrc_nss: S3 Print Method

print.termstrc_cs: S3 Print Method for termstrc_cs

print.termstrc_nss: S3 Print Method

print.zeroyields: S3 Print Method

rm_bond: Bond Removal Function

rm_bond.couponbonds: S3 Remove Bond Method

rm_bond.dyncouponbonds: S3 Remove Bond Method

rmse: Root Mean Squared Error

spotrates: Function for the Calculation of the Spot Rates

spr_asv: Adjusted Svensson Spot rate function

spr_dl: Spot Rate Function according to the Diebold and Li Version of...

spr_ns: Spot Rate Function according to Nelson and Siegel

spr_sv: Spot Rate Function according to Svensson

summary.dyntermstrc_nss: S3 Summary Method

summary.dyntermstrc_param: S3 Summary Method

summary.dyntermstrc_yields: S3 Summary Method

summary.termstrc_cs: S3 Summary Method for Termstrc_cs

summary.termstrc_nss: S3 Summary Method

summary.zeroyields: S3 Summary Method

termstrc-package: Zero-coupon Yield Curve Estimation

zeroyields: Zeroyields Data Set Generation

zyields: Zero Coupon Yield Data Set


aabse Man page
bond_prices Man page
bond_yields Man page
create_cashflows_matrix Man page
create_maturities_matrix Man page
cSums Man page
datadyncouponbonds Man page
duration Man page
estimateyieldcurve Man page
estimatezcyieldcurve Man page
estim_cs Man page
estim_cs.couponbonds Man page
estim_nss Man page
estim_nss.couponbonds Man page
estim_nss.dyncouponbonds Man page
estim_nss.zeroyields Man page
fcontrib Man page
fcontrib.dyntermstrc_param Man page
findstartparambonds Man page
findstartparamyields Man page
forwardrates Man page
fwr_asv Man page
fwr_dl Man page
fwr_ns Man page
fwr_sv Man page
get_constraints Man page
get_grad_objfct Man page
get_grad_objfct_bonds Man page
get_objfct Man page
get_objfct_bonds Man page
get_paramnames Man page
get_realnames Man page
gi Man page
govbonds Man page
grad_asv Man page
grad_asv_bonds Man page
grad_asv_bonds_grid Man page
grad_asv_grid Man page
grad_dl Man page
grad_dl_bonds Man page
grad_ns Man page
grad_ns_bonds Man page
grad_ns_bonds_grid Man page
grad_ns_grid Man page
grad_sv Man page
grad_sv_bonds Man page
grad_sv_bonds_grid Man page
grad_sv_grid Man page
impl_fwr Man page
loss_function Man page
maturity_range Man page
objfct_asv Man page
objfct_asv_bonds Man page
objfct_asv_bonds_grid Man page
objfct_asv_grid Man page
objfct_dl Man page
objfct_dl_bonds Man page
objfct_ns Man page
objfct_ns_bonds Man page
objfct_ns_bonds_grid Man page
objfct_ns_grid Man page
objfct_sv Man page
objfct_sv_bonds Man page
objfct_sv_bonds_grid Man page
objfct_sv_grid Man page
param Man page
param.dyntermstrc_nss Man page
param.dyntermstrc_yields Man page
plot.df_curves Man page
plot.dyntermstrc_nss Man page
plot.dyntermstrc_param Man page
plot.dyntermstrc_yields Man page
plot.error Man page
plot.fwr_curves Man page
plot.ir_curve Man page
plot.s_curves Man page
plot.spot_curves Man page
plot.spsearch Man page
plot.termstrc_cs Man page
plot.termstrc_nss Man page
plot.zeroyields Man page
postpro_bond Man page
prepro_bond Man page
print.couponbonds Man page
print.dyncouponbonds Man page
print.dyntermstrc_nss Man page
print.dyntermstrc_yields Man page
print.summary.dyntermstrc_nss Man page
print.summary.dyntermstrc_param Man page
print.summary.dyntermstrc_yields Man page
print.summary.termstrc_cs Man page
print.summary.termstrc_nss Man page
print.termstrc_cs Man page
print.termstrc_nss Man page
print.zeroyields Man page
rm_bond Man page
rm_bond.couponbonds Man page
rm_bond.dyncouponbonds Man page
rmse Man page
spotrates Man page
spr_asv Man page
spr_dl Man page
spr_ns Man page
spr_sv Man page
summary.dyntermstrc_nss Man page
summary.dyntermstrc_param Man page
summary.dyntermstrc_yields Man page
summary.termstrc_cs Man page
summary.termstrc_nss Man page
summary.zeroyields Man page
termstrc Man page
termstrc-package Man page
zeroyields Man page
zyields Man page


R/bondpricing.R R/couponbonds_data.R R/create_cf_m.R R/cubicfunc.R R/estim_cs.R R/estim_nss_couponbonds.R R/estim_nss_dyncouponbonds.R R/estim_nss_zeroyields.R R/gof.R R/gradfunc.R R/methods_couponbonds.R R/methods_curves.R R/methods_dyntermstrc_nss.R R/methods_dyntermstrc_param.R R/methods_dyntermstrc_yields.R R/methods_termstrc_cs.R R/methods_termstrc_nss.R R/methods_zeroyields.R R/spotfwdratedef.R
demo/csplines.R demo/nss_dynamic.R demo/nss_static.R demo/zeroyields.R
man/aabse.Rd man/bond_prices.Rd man/bond_yields.Rd man/cSums.Rd man/create_cashflows_matrix.Rd man/create_maturities_matrix.Rd man/datadyncouponbonds.Rd man/duration.Rd man/estim_cs.Rd man/estim_cs.couponbonds.Rd man/estim_nss.Rd man/estim_nss.couponbonds.Rd man/estim_nss.dyncouponbonds.Rd man/estim_nss.zeroyields.Rd man/estimateyieldcurve.Rd man/estimatezcyieldcurve.Rd man/fcontrib.Rd man/fcontrib.dyntermstrc_param.Rd man/findstartparambonds.Rd man/findstartparamyields.Rd man/forwardrates.Rd man/fwr_asv.Rd man/fwr_dl.Rd man/fwr_ns.Rd man/fwr_sv.Rd man/get_constraints.Rd man/get_grad_objfct.Rd man/get_grad_objfct_bonds.Rd man/get_objfct.Rd man/get_objfct_bonds.Rd man/get_paramnames.Rd man/get_realnames.Rd man/gi.Rd man/govbonds.Rd man/grad_asv.Rd man/grad_asv_bonds.Rd man/grad_asv_bonds_grid.Rd man/grad_asv_grid.Rd man/grad_dl.Rd man/grad_dl_bonds.Rd man/grad_ns.Rd man/grad_ns_bonds.Rd man/grad_ns_bonds_grid.Rd man/grad_ns_grid.Rd man/grad_sv.Rd man/grad_sv_bonds.Rd man/grad_sv_bonds_grid.Rd man/grad_sv_grid.Rd man/impl_fwr.Rd man/loss_function.Rd man/maturity_range.Rd man/objfct_asv.Rd man/objfct_asv_bonds.Rd man/objfct_asv_bonds_grid.Rd man/objfct_asv_grid.Rd man/objfct_dl.Rd man/objfct_dl_bonds.Rd man/objfct_ns.Rd man/objfct_ns_bonds.Rd man/objfct_ns_bonds_grid.Rd man/objfct_ns_grid.Rd man/objfct_sv.Rd man/objfct_sv_bonds.Rd man/objfct_sv_bonds_grid.Rd man/objfct_sv_grid.Rd man/param.Rd man/param.dyntermstrc_nss.Rd man/param.dyntermstrc_yields.Rd man/plot.df_curves.Rd man/plot.dyntermstrc_nss.Rd man/plot.dyntermstrc_param.Rd man/plot.dyntermstrc_yields.Rd man/plot.error.Rd man/plot.fwr_curves.Rd man/plot.ir_curve.Rd man/plot.s_curves.Rd man/plot.spot_curves.Rd man/plot.spsearch.Rd man/plot.termstrc_cs.Rd man/plot.termstrc_nss.Rd man/plot.zeroyields.Rd man/postpro_bond.Rd man/prepro_bond.Rd man/print.couponbonds.Rd man/print.dyncouponbonds.Rd man/print.dyntermstrc_nss.Rd man/print.dyntermstrc_yields.Rd man/print.summary.dyntermstrc_nss.Rd man/print.summary.dyntermstrc_param.Rd man/print.summary.dyntermstrc_yields.Rd man/print.summary.termstrc_cs.Rd man/print.summary.termstrc_nss.Rd man/print.termstrc_cs.Rd man/print.termstrc_nss.Rd man/print.zeroyields.Rd man/rm_bond.Rd man/rm_bond.couponbonds.Rd man/rm_bond.dyncouponbonds.Rd man/rmse.Rd man/spotrates.Rd man/spr_asv.Rd man/spr_dl.Rd man/spr_ns.Rd man/spr_sv.Rd man/summary.dyntermstrc_nss.Rd man/summary.dyntermstrc_param.Rd man/summary.dyntermstrc_yields.Rd man/summary.termstrc_cs.Rd man/summary.termstrc_nss.Rd man/summary.zeroyields.Rd man/termstrc-package.Rd man/zeroyields.Rd man/zyields.Rd

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