zeroyields

maturities

yields

vector of the observations dates in the format "


dates


The function generates a zeroyield data set out of yield, date and
maturities data. 


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.

zeroyields: Zeroyields Data Set Generation

Description

Usage

Arguments

Value

See Also