Description Usage Arguments Note
The function calculates based on the term structure estimation results the errors for prices and yields and differnt curves (spot, forward, discount curve).
1 2 | postpro_bond(opt_result, m, cf, sgroup, n_group, y, p,
ac, m_p, method, lambda)
|
opt_result |
parameter vector |
m |
maturities matrices |
cf |
cahsflows matrices |
sgroup |
sequence of the group length |
n_group |
lenght of the group |
y |
yield-to-maturity matrices |
p |
dirty price vectors |
ac |
accrued interest vectors |
m_p |
maturity matrices including the maturities for the current dirty prices |
method |
form of the spot rate function |
lambda |
additional paramter for the Diebold/Li spot rate function |
Used as internal helper function
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