splines_estim {termstrc} | R Documentation |
Term structure and credit spread estimation with cubic splines method
splines_estim(group, bonddata, matrange = "all")
group |
vector defining the group of bonds used for the estimation,newline
e.g. c("GERMANY","AUSTRIA") |
bonddata |
a dataset of bonds in list format |
matrange |
use "all" for no restrictions, or restrict the
maturity range used for the estimation with c(lower,upper) |
group
bonddata
str()
to explore the structure of the provided datasets.
The function splines_estim
returns a list with the following elements or sub-lists:
group |
groups used from data set |
matrange |
maturity range |
n_group |
the number of groups used for the optimisation |
zcy_curves |
values for plotting the estimated zero-coupon yield curves |
scurves |
values for plotting the spread curves |
cf |
cashflows matrix for all specified groups |
m |
maturity matrix for all specified groups |
duration |
duration, weighted duration and duration based weights |
p |
dirty prices |
phat |
estimated bond prices |
y |
bond yields |
yhat |
theoretical bond yields calculated with the estimated
bond prices phat |
alpha |
OLS coefficients of cubic splines estimation |
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
J.Huston McCulloch (1971): Measuring the Term Structure of Interest Rates. The Journal of Business, 44 19–31.
J. Huston McCulloch (1975): The Tax-Adjusted Yield Curve. The Journal of Finance, 30 811–830.
Sanjay K. Nawalkha and Gloria M. Soto and Natalia K. Beliaeva (2005): Interest Rate Risk Modeling : The Fixed Income Valuation Course Wiley Finance,60–67
for another estimation method see nelson_estim
demo(euro02)