Description Usage Arguments Value Note References See Also Examples
Zero-coupon yield curve estimation with the parametric Nelson/Siegel
(1987), Svensson (1994) and Diebold/Li (2006) method. The method
requires an object of the class "couponbonds"
.
1 2 3 4 5 |
dataset |
a static coupon bond data set of the class |
group |
vector defining the group of bonds used for the estimation, e.g., |
matrange |
use |
method |
|
startparam |
matrix of start parameters (number of columns is the
number of parameters). If no start parameters are given, globally
optimal parameters are searched automatically (default: |
lambda |
parameter on a yearly time scale with fixed value for |
tauconstr |
|
constrOptimOptions |
list with solver control parameters
(default: control=list(), outer.interations=30,
outer.eps.=1e-04). For further documentation please refer to |
... |
further arguments |
The function nelson_estim
returns an object of the class "nelson"
. The object
contains the following items (mainly lists):
group |
group of bonds (e.g. countries) used for the estimation. |
matrange |
|
method |
estimation method ( |
startparam |
calculated starparameters. |
n_group |
length of object |
lambda |
lambda parameter of |
spsearch |
detailed data from the start parameter search algorithm |
spot |
zero-coupon yield curves as object of the class |
spread |
spread curves as object of the class |
forward |
forward curves as object of the class |
discount |
discount curves as object of the class |
expoints |
extrapolation points for Nelson/Siegel method. |
cf |
cashflow matrices. |
m |
maturity matrices. |
duration |
duration matrix, including the modified duration and duration based weights. |
p |
dirty prices. |
phat |
estimated bond prices. |
perrors |
pricing errors and maturities, object of the class
|
ac |
accrued interest |
y |
bond yields. |
yhat |
one list for each group with the theoretical bond yields calculated with the estimated bond prices |
yerrors |
yield errors and maturities as object of the class |
opt_result |
optimization results from |
An error message concerning the function uniroot()
is in
general caused by wrongly specified start parameters or by data issues.
For objects of the class "spot_curves"
, "s_curves"
, "df_curves"
, "fwr_curves"
, "error"
appropriate plot methods are offered. For objects of the class "termstrc_nss"
print, summary and plot methods are available. Another term structure estimation method is provided by the function estim_cs
.
Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4):473–489.
Lars E.O. Svensson (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.
F.X. Diebold and C. Li: Forecasting the Term Structure of Government Bond Yields. Journal of Econometrics, 130:337–364.
print.termstrc_nss
, summary.termstrc_nss
, plot.termstrc_nss
, estim_cs
, plot.spot_curves
, plot.s_curves
, plot.df_curves
, plot.fwr_curves
,
1 | ## Run: demo(nss_static)
|
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