estim_cs

bonddata

vector defining the group of bonds used for the estimation,
 
e.g., <code>c("GERMANY","AUSTRIA")</code>.

group

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

matrange

 <code>TRUE</code> (default) calculates robust standard erros for the confidence intervalls of the discount curve


Function for estimating the term structure of coupon bonds based on
cubic splines.


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.

estim_cs: Cubic Splines Term Structure Estimation

Description

Usage

Arguments

See Also