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]