fwr_ns

parameter vector  ${\bm{\beta}} = \left(\beta_0,\beta_1,\beta_2,\tau_1\right)$.

beta

Calculate forward rates according to Nelson/Siegel(1987).

The package offers a wide range of functions for term
structure estimation based on static and dynamic coupon bond
and yield data sets. The implementation focuses on the cubic
splines approach of McCulloch (1971, 1975) and the Nelson and
Siegel (1987) method with extensions by Svensson (1994),
Diebold and Li (2006) and De Pooter (2007). We propose a
weighted constrained optimization procedure with analytical
gradients and a globally optimal start parameter search
algorithm. Extensive summary statistics and plots are provided
to compare the results of the different estimation methods.
Several demos are available using data from European government
bonds and yields.

fwr_ns: Forward Rate Calculation according to Nelson/Siegel.

Description

Usage

Arguments

Value

Details

References

See Also

Examples