grad_asv_grid

beta


Calculates the gradient of the objective function for the grid search. The objective function minimizes the sum of the squared yield errors. The spot rate function is based on the adjusted version of 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.

grad_asv_grid: Adjusted Svensson Gradient Function for the Grid Search

Description

Usage

Arguments