loss_function {termstrc}R Documentation

Loss Function used for the Term Structure Estimation

Description

The loss function defines the objective function used for the optimisation.

Usage

loss_function(p, phat, omega, weights)

Arguments

p observed prices, yields
phat estimated prices, yields
omega weights
weights if "none" the squared deviation of p and phat is not weighted, use "duration" for a duration weighted optimization

Author(s)

Robert Ferstl, Josef Hayden

References

David Bolder and David Streliski (1999): Yield Curve Modelling at the Bank of Canada.Technical Report No 84 Bank of Canada


[Package termstrc version 1.0 Index]