estimatezcyieldcurve

method

startparam

lambda

objective function, e.g., sum of the weighted squared price errors

objfct

grad_objfct

constraints

constrOptimOptions

weights


Estimate Zero-coupon Yield curves assuming a certain spot rate function


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.

estimatezcyieldcurve: Estimate Zero-coupon Yield Curves

Description

Usage

Arguments

Details