adjusted Svensson Gradient Function

Share:

Description

Calculates the gradient of the objective function. The objective function minimizes the sum of the weighted squared price errors. The spot rate function is based on an adjusted version of Svensson.

Usage

1
grad_asv_bonds(beta,m, cf, w, p)

Arguments

beta

Spot rate parameter vector

m

maturity matrix

cf

cashflow matrix

w

weights vector

p

price vector

Value

returns the gradient vector

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.