loss_function

phat

omega

if <command>"none" the squared deviation of <command>p and
    <command>phat is not weighted, use <command>"duration" for a duration weighted optimisation.

weights

The loss function defines the objective function used for the optimisation. In case of term structure estimation
 the objective function is either the minimsation of the (weighted) squared price or the yield errors.

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.

loss_function: Loss Function used for the Term Structure Estimation

Description

Usage

Arguments