postpro_bond

opt_result

sgroup

n_group

maturity matrices including the maturities for the current dirty prices

method

additional paramter for the Diebold/Li spot rate function

lambda

The function calculates based on the term structure estimation results the errors for prices and yields and differnt curves (spot, forward, discount curve).

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.

postpro_bond: Post Processing of Term Structure Estimation Results

Description

Usage

Arguments