estim_nss

object of the class <code>"zeroyields"</code>, <code>"couponbonds"</code> or <code>"dyncouponbonds"</code>


dataset

Function for estimating the term structure of coupon bonds
  and yields, with the spot rate function of Diebold/Li, Nelson/Siegel
  or Svensson.


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_nss: Parametric Term Structure Estimation

Description

Usage

Arguments

See Also