nelson_estim {termstrc} | R Documentation |
Term structure and credit spread estimation with Nelson/Siegel and Svensson method
nelson_estim(group, bonddata, matrange = "all", method = "Nelson/Siegel", fit = "prices", weights = "none", startparam, control = list(eval.max = 1000))
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) |
method |
"Nelson/Siegel" or "Svensson" |
fit |
use "prices" ("yields" ) for minimising the squared price (yield) error |
weights |
If a weighted minimisation of the squared price deviation is required, use "duration" , otherwise "none" |
startparam |
matrix of start parameters, for the Nelson/Siegel (Svensson) method 4 (6) parameters for each each group are required (one row per group). |
control |
list of control parameters for the function nlminb |
group
bonddata
str()
to explore the structure of the provided datasets.startparam
control
mlimnb
.
The function nelson_estim
returns a list with the following elements or sub-lists:
group |
groups used from data set |
matrange |
includes the chosen maturity range |
method |
includes the chosen estimation method |
fit |
includes the chosen objective function |
weights |
type of weighting used in optimisation |
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 |
opt_result |
the optimal parameter vector for the specified groups according to the chosen estimation approach |
Robert Ferstl, Josef Hayden
Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious modeling of yield curves. The Journal of Business, 60(4):473–489.
Lars E.O. Svensson (1994): Estimating and interpreting forward interest rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.
David Bolder and David Streliski (1999): Yield Curve Modelling at the Bank of Canada. Technical Report No 84 Bank of Canada
for another estimation method see splines_estim
demo(euro01)