grad_dl

Parameter of the Diebold/Li spot rate function 


beta

constant parameter of the Diebold/Li spot rate function


lambda


Calculates the gradient of the Diebold/Li Loss Function for Yields


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_dl: Gradient of the Diebold/Li Loss Function for Yields

Description

Usage

Arguments