findstartparambonds

weights

method

tauconstr

solver control parameters, for details see <code><a rd-options="" href="/link/optim?package=termstrc&version=1.3.7" data-mini-rdoc="termstrc::optim">optim</a></code> 


control

see <code><a rd-options="" href="/link/constrOptim?package=termstrc&version=1.3.7" data-mini-rdoc="termstrc::constrOptim">constrOptim</a></code>


outer.iterations

outer.eps

Start parameter search routine for term structure estimation based on a coupon bond data set. 
The algorithm searches for the parameters over a grid spanned over tau1 (tau2). 


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.

findstartparambonds: Find Globally Optimal Startparameters

Description

Usage

Arguments

Value

Details