bond_prices

defines the desired method,  <code>"Nelson/Siegel"</code> for the Nelson/Siegel approach
  		or <code>"Svensson"</code> for the Svensson approach.

method

parameter vector, is linked to the chosen approach.

beta

maturities matrix, consists
  of the maturity dates which are appended to the cashflows of the bonds.

Function for the calculation of bond prices according to the chosen approach 
  (Nelson and Siegel or Svensson) based on the cashflows and maturities of the bonds.

Zero-coupon yield curves and spread curves are important
        inputs for various financial models, e.g. pricing of
        securities, risk management, monetary policy issues. Since
        zero-coupon rates are rarely directly observable, they have to
        be estimated from market data. The literature broadly
        distinguishes between parametric and spline-based estimation
        methods for the zero-coupon yield curve. Our package consists
        of several widely-used approaches, i.e. the parametric Nelson
        and Siegel (1987) method with the Svensson (1994) extension,
        and the McCulloch (1975) cubic splines approach. Extensive
        summary statistics and plots are provided to compare the
        results of the different estimation methods.

bond_prices: Bond Price Calculation

Description

Usage

Arguments

Value

See Also