fcontrib.dyntermstrc_param

 object of the class <code>dyntermstrc_param</code><p></p><p></p>

Spot rate function, one of the following <code>"ns","sv","dl","sv"</code>


method

additional parameter for <code>"dl"</code> spot rate
  function. 


lambda

index

maturity spectrum for the plot, e.g., <code>"c(min,max)"</code>


ylim

S3 fcontrib method for objects of the class <code>"dyntermstrc_param"</code>. The function plots the factor contribution of the parameters of the
different spot rate functions at a certain point in time. 


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.

fcontrib.dyntermstrc_param: S3 fcontrib Method

Description

Usage

Arguments