grad_sv_bonds_grid: Svensson Gradient Function for the Grid Search

Description Usage Arguments Value

View source: R/gradfunc.R

Description

Calculates the gradient of the objective function for the grid search. The objective function minimizes the sum of the weighted squared price errors. The spot rate function is based on Svensson.

Usage

1
grad_sv_bonds_grid(beta, tau, m, cf, w, p)

Arguments

beta

Spot rate parameter vector

tau

fixed parameters

m

maturity matrix

cf

cashflow matrix

w

weights vector

p

price vector

Value

returns the gradient vector


termstrc documentation built on May 31, 2017, 2:19 a.m.

Search within the termstrc package
Search all R packages, documentation and source code