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. In case of term structure estimation the objective function is either the minimsation of the (weighted) squared price or the yield errors.

Usage

loss_function(p, phat, omega, weights)

Arguments

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

[Package termstrc version 1.1 Index]