loss_function {termstrc} | R Documentation |
The loss function defines the objective function used for the optimisation.
loss_function(p, phat, omega, weights)
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 |
Robert Ferstl, Josef Hayden
David Bolder and David Streliski (1999): Yield Curve Modelling at the Bank of Canada.Technical Report No 84 Bank of Canada