grad_asv_bonds: adjusted Svensson Gradient Function

Description Usage Arguments Value

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



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