loss_function

phat

weights vector, e.g., duration based weights.

omega


  The loss function defines the objective function used for the optimisation. In case of term structure estimation
 the objective function is the sum of the weighted squared price errors.


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.

loss_function: Loss Function used for the Term Structure Estimation

Description

Usage

Arguments