termstrc (version 1.0)

splines_estim: Term Structure and Credit Spread Estimation with Cubic Splines Method

Description

Term structure and credit spread estimation with cubic splines method

Usage

splines_estim(group,
              bonddata,
              matrange = "all")

Arguments

group

vector defining the group of bonds used for the estimation,\newlinee.g. c("GERMANY","AUSTRIA")

bonddata

a dataset of bonds in list format

matrange

use "all" for no restrictions, or restrict the maturity range used for the estimation with c(lower,upper)

Value

• The function splines_estim returns a list with the following elements or sub-lists:
• group
  groups used from data set
• matrange
  maturity range
• n_group
  the number of groups used for the optimisation
• zcy_curves
  values for plotting the estimated zero-coupon yield curves
• scurves
  values for plotting the spread curves
• cf
  cashflows matrix for all specified groups
• m
  maturity matrix for all specified groups
• duration
  duration, weighted duration and duration based weights
• p
  dirty prices
• phat
  estimated bond prices
• y
  bond yields
• yhat
  theoretical bond yields calculated with the estimated bond prices phat
• alpha
  OLS coefficients of cubic splines estimation

Details

group{The first element of the vector will be used as the reference country for the credit spread estimation. The group can be either a vector of groups or a scalar.} bonddata{The package is tailored to the included data sets. Therefore the structure and the naming convention of other used data sets has to be identical. Use the function str() to explore the structure of the provided datasets.}

References

David Bolder and David Streliski (1999): Yield Curve Modelling at the Bank of Canada. Technical Report No 84 Bank of Canada J.Huston McCulloch (1971): Measuring the Term Structure of Interest Rates. The Journal of Business, 44 19--31. J. Huston McCulloch (1975): The Tax-Adjusted Yield Curve. The Journal of Finance, 30 811--830. Sanjay K. Nawalkha and Gloria M. Soto and Natalia K. Beliaeva (2005): Interest Rate Risk Modeling : The Fixed Income Valuation Course Wiley Finance,60--67

See Also

for another estimation method see nelson_estim

Examples

demo(euro02)