spotrates

spot rate function type: <code>"dl"</code> for Diebold/Li, <code>"ns"</code> for Nelson/Siegel, <code>"sv"</code> for Svensson, <code>"asv"</code> for adjusted Svensson.

method

beta

$=1/\tau_1$, a scalar; only required for Diebold/Li spot rate function


lambda

 The function calculates the spot rates for the chosen spot rate function (Diebold/Li, Nelson/Siegel, Svensson) , a provided maturity and parameter vector.<p></p><p></p>

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.

spotrates: Function for the Calculation of the Spot Rates

Description

Usage

Arguments

Value

See Also

Examples