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termstrc (version 1.3.7)

Zero-coupon Yield Curve Estimation

Description

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.

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Version

Install

install.packages('termstrc')

Monthly Downloads

10

Version

1.3.7

License

GPL (>= 2)

Maintainer

Josef Hayden

Last Published

November 4th, 2013

Functions in termstrc (1.3.7)

forwardrates

Forward Rate Calculation
estim_cs.couponbonds

S3 Estim_cs Method
create_maturities_matrix

Maturity Matrix Creation
estimateyieldcurve

Estimate Zero-coupon Yield Curves
estim_cs

Cubic Splines Term Structure Estimation
fwr_dl

Forward Rate Calculation according to Diebold/Li.
findstartparambonds

Find Globally Optimal Startparameters
plot.ir_curve

S3 Plot Method
objfct_sv

Svensson Loss Function for Yields
create_cashflows_matrix

Cashflows Matrix Creation
objfct_dl_bonds

Diebold/Li Loss Function for Bonds
spr_ns

Spot Rate Function according to Nelson and Siegel
fwr_asv

Forward Rate Calculation according to an adjusted Svensson Version
grad_asv_bonds

adjusted Svensson Gradient Function
plot.fwr_curves

S3 Plot Method
get_paramnames

Parameter Names
objfct_sv_bonds_grid

Svensson Grid Loss Function for Bonds
impl_fwr

Implied Forward Rate Calculation
plot.error

S3 Plot Method
objfct_dl

Diebold/Li Loss Function for Yields
print.dyncouponbonds

S3 Print Method
grad_asv

Gradient of the adjusted Svensson Loss Function for Yields
print.dyntermstrc_nss

S3 Print Method
summary.dyntermstrc_param

S3 Summary Method
grad_sv_bonds

Svensson Gradient Function
get_grad_objfct

Gradient Selection Function
objfct_sv_grid

Svensson Grid Loss Function for Bonds
objfct_ns

Nelson/Siegel Loss Function for Yields
grad_asv_bonds_grid

adjusted Svensson Gradient Function for the Grid Search
objfct_ns_bonds_grid

Nelson/Siegel Grid Loss Function for Bonds
maturity_range

Restricting a Bond Dataset
objfct_asv_grid

Adjusted Svensson Grid Loss Function for Yields
rm_bond

Bond Removal Function
aabse

Average Absolute Mean Error
govbonds

European Government Bonds
summary.termstrc_cs

S3 Summary Method for Termstrc_cs
print.termstrc_nss

S3 Print Method
duration

Duration, modified Duration and Duration based Weights
estim_nss.dyncouponbonds

S3 Estim_nss method
print.summary.dyntermstrc_param

S3 Print Method
get_objfct_bonds

Objective Function Selection
grad_dl

Gradient of the Diebold/Li Loss Function for Yields
termstrc-package

Zero-coupon Yield Curve Estimation
summary.dyntermstrc_nss

S3 Summary Method
print.termstrc_cs

S3 Print Method for termstrc_cs
objfct_asv_bonds

Adjusted Svensson Loss Function for Bonds
param

Term Structure Parameter Extraction
datadyncouponbonds

German Government Bond Data Set
plot.df_curves

S3 Plot Method
estimatezcyieldcurve

Estimate Zero-coupon Yield Curves
spr_dl

Spot Rate Function according to the Diebold and Li Version of the Nelson/Siegel Spot Rate Function
bond_yields

Bond Yield Calculation
objfct_asv_bonds_grid

Adjusted Svensson Grid Loss Function for Bonds
print.zeroyields

S3 Print Method
grad_dl_bonds

Diebold/Li Gradient function
summary.zeroyields

S3 Summary Method
get_grad_objfct_bonds

Gradient Selection Function
fwr_ns

Forward Rate Calculation according to Nelson/Siegel.
grad_ns_bonds

Nelson/Siegel Gradient Function
loss_function

Loss Function used for the Term Structure Estimation
plot.s_curves

S3 Plot Method
fcontrib.dyntermstrc_param

S3 fcontrib Method
plot.dyntermstrc_param

S3 Plot Method
plot.termstrc_cs

S3 Plot Method for Cubic Splines
grad_ns_grid

Nelson/Siegel Gradient Function for the Grid Search
postpro_bond

Post Processing of Term Structure Estimation Results
fwr_sv

Forward Rate Calculation according to Svensson (1994).
spotrates

Function for the Calculation of the Spot Rates
estim_nss.zeroyields

S3 estim_nss Method
spr_sv

Spot Rate Function according to Svensson
print.dyntermstrc_yields

S3 Print Method
plot.spsearch

S3 Plot Method
grad_asv_grid

Adjusted Svensson Gradient Function for the Grid Search
get_constraints

Constraints Selection
get_objfct

Objective Function Selection
objfct_sv_bonds

Svensson Loss Function for Bonds
gi

Cubic Functions
print.summary.dyntermstrc_yields

S3 Print Method
summary.dyntermstrc_yields

S3 Summary Method
param.dyntermstrc_nss

S3 Param Method
objfct_ns_grid

Nelson/Siegel Grid Loss Function for Yields
plot.dyntermstrc_nss

S3 Plot Method
print.summary.termstrc_cs

S3 Print Method
plot.spot_curves

S3 Plot Method
rm_bond.couponbonds

S3 Remove Bond Method
prepro_bond

Bonddata preprocess function
objfct_asv

Adjusted Svensson Loss Function for Yields
rm_bond.dyncouponbonds

S3 Remove Bond Method
plot.dyntermstrc_yields

S3 Plot Method
grad_sv_grid

Svensson Gradient Function for the Grid Search
objfct_ns_bonds

Nelson/Siegel Loss Function for Bonds
summary.termstrc_nss

S3 Summary Method
get_realnames

Name Conversion
bond_prices

Bond Price Calculation
plot.termstrc_nss

S3 Plot Method
cSums

Form Column Sums
zyields

Zero Coupon Yield Data Set
plot.zeroyields

S3 Plot Method
param.dyntermstrc_yields

S3 Param Method
grad_ns_bonds_grid

Nelson/Siegel Gradient Function for the Grid Search
grad_ns

Gradient of the Nelson/Siegel Loss Function for Yields
grad_sv_bonds_grid

Svensson Gradient Function for the Grid Search
estim_nss.couponbonds

S3 Estim_nss Method
rmse

Root Mean Squared Error
spr_asv

Adjusted Svensson Spot rate function
findstartparamyields

Find Globally Optimal Start Parameters
print.couponbonds

S3 Print Method
estim_nss

Parametric Term Structure Estimation
fcontrib

Plot Factor Contribution
grad_sv

Gradient of the Svensson Loss Function for Yields
print.summary.termstrc_nss

S3 Print Method
print.summary.dyntermstrc_nss

S3 Print Method
zeroyields

Zeroyields Data Set Generation