estim_nss.couponbonds: S3 Estim_nss Method

Description

Zero-coupon yield curve estimation with the parametric Nelson/Siegel (1987), Svensson (1994) and Diebold/Li (2006) method. The method requires an object of the class "couponbonds".

Usage

"estim_nss"(dataset, group, matrange = "all", method = "ns", startparam = NULL, lambda = 0.0609 * 12, tauconstr = NULL, 
constrOptimOptions = list(control = list(maxit = 2000), outer.iterations = 200, outer.eps = 1e-04),...)

Arguments

dataset

a static coupon bond data set of the class "couponbonds"

group

vector defining the group of bonds used for the estimation,

e.g., c("GERMANY","AUSTRIA"). The spot rate curve of the first group element will be used as the reference curve for the spread curve calculation.

matrange

use "all" for no restrictions, or restrict the maturity range (in years) used for the estimation with c(lower,upper).

method

"ns" for Nelson/Siegel (default), "dl" for Diebold/Li, "sv" for Svensson or "asv" for adjusted Svensson.

startparam

matrix of start parameters (number of columns is the number of parameters). If no start parameters are given, globally optimal parameters are searched automatically (default: NULL)

lambda

parameter on a yearly time scale with fixed value for "dl" spot rate function (default: 0.0609*12)

tauconstr

constrOptimOptions

list with solver control parameters (default: control=list(), outer.interations=30, outer.eps.=1e-04). For further documentation please refer to optim

...

further arguments

Value

group: group of bonds (e.g. countries) used for the estimation.
matrange: "none" or a vector with the maturity range.
method: estimation method ("Nelson/Siegel" or "Svensson").
startparam: calculated starparameters.
n_group: length of object group, i.e. the number of countries.
lambda: lambda parameter of "dl" spot rate function.
spsearch: detailed data from the start parameter search algorithm
spot: zero-coupon yield curves as object of the class "spot_curves".
spread: spread curves as object of the class "s_curves".
forward: forward curves as object of the class "fwr_curves".
discount: discount curves as object of the class "df_curves".
expoints: extrapolation points for Nelson/Siegel method.
cf: cashflow matrices.
m: maturity matrices.
duration: duration matrix, including the modified duration and duration based weights.
p: dirty prices.
phat: estimated bond prices.
perrors: pricing errors and maturities, object of the class "error".
ac: accrued interest
y: bond yields.
yhat: one list for each group with the theoretical bond yields calculated with the estimated bond prices phat.
yerrors: yield errors and maturities as object of the class "error".
opt_result: optimization results from optim, e.g. optimal parameters, convergence info.

References

Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4):473--489.

Lars E.O. Svensson (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.

F.X. Diebold and C. Li: Forecasting the Term Structure of Government Bond Yields. Journal of Econometrics, 130:337--364.

Examples

Run this code

## Run: demo(nss_static)

Run the code above in your browser using DataLab