estim_nss.couponbonds: S3 Estim_nss Method

In termstrc: Zero-coupon Yield Curve Estimation

Description

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".

Usage

## S3 method for class 'couponbonds'
estim_nss(dataset, group, matrange = "all", method = "ns",
 startparam = NULL, lambda = 0.0609 * 12, tauconstr = NULL, 
constrOptimOptions = list(control = list(maxit = 2000),
 outer.iterations = 200, outer.eps = 1e-04),...)

Arguments

dataset	a static coupon bond data set of the class "couponbonds"
group	vector defining the group of bonds used for the estimation, e.g., c("GERMANY","AUSTRIA"). The spot rate curve of the first group element will be used as the reference curve for the spread curve calculation.
matrange	use "all" for no restrictions, or restrict the maturity range (in years) used for the estimation with c(lower,upper).
method	"ns" for Nelson/Siegel (default), "dl" for Diebold/Li, "sv" for Svensson or "asv" for adjusted Svensson.
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: NULL)
lambda	parameter on a yearly time scale with fixed value for "dl" spot rate function (default: 0.0609*12)
tauconstr
constrOptimOptions	list with solver control parameters (default: control=list(), outer.interations=30, outer.eps.=1e-04). For further documentation please refer to optim
...	further arguments

Value

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	"none" or a vector with the maturity range.
method	estimation method ("Nelson/Siegel" or "Svensson").
startparam	calculated starparameters.
n_group	length of object group, i.e. the number of countries.
lambda	lambda parameter of "dl" spot rate function.
spsearch	detailed data from the start parameter search algorithm
spot	zero-coupon yield curves as object of the class "spot_curves".
spread	spread curves as object of the class "s_curves".
forward	forward curves as object of the class "fwr_curves".
discount	discount curves as object of the class "df_curves".
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 "error".
ac	accrued interest
y	bond yields.
yhat	one list for each group with the theoretical bond yields calculated with the estimated bond prices phat.
yerrors	yield errors and maturities as object of the class "error".
opt_result	optimization results from optim, e.g. optimal parameters, convergence info.

Note

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.

References

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.

See Also

print.termstrc_nss, summary.termstrc_nss, plot.termstrc_nss, estim_cs, plot.spot_curves, plot.s_curves, plot.df_curves, plot.fwr_curves,

plot.error, uniroot.

Examples

## Run: demo(nss_static)

termstrc documentation built on May 2, 2019, 4:50 p.m.