Zero-coupon Yield Curve Estimation

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Documentation for package ‘termstrc’ version 1.3.3

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A B C D E F G I L M O P R S T Z

-- --

termstrc-package Zero-coupon Yield Curve Estimation

-- A --

aabse Average Absolute Mean Error

-- B --

bond_prices Bond Price Calculation
bond_yields Bond Yield Calculation

-- C --

create_cashflows_matrix Cashflows Matrix Creation
create_maturities_matrix Maturity Matrix Creation
cSums Form Column Sums

-- D --

datadyncouponbonds German Government Bond Data Set
duration Duration, modified Duration and Duration based Weights

-- E --

estimateyieldcurve Estimate Zero-coupon Yield Curves
estimatezcyieldcurve Estimate Zero-coupon Yield Curves
estim_cs Cubic Splines Term Structure Estimation
estim_cs.couponbonds S3 Estim_cs Method
estim_nss Parametric Term Structure Estimation
estim_nss.couponbonds S3 Estim_nss Method
estim_nss.dyncouponbonds S3 Estim_nss method
estim_nss.zeroyields S3 estim_nss Method

-- F --

fcontrib Plot Factor Contribution
fcontrib.dyntermstrc_param S3 fcontrib Method
findstartparambonds Find Globally Optimal Startparameters
findstartparamyields Find Globally Optimal Start Parameters
forwardrates Forward Rate Calculation
fwr_asv Forward Rate Calculation according to an adjusted Svensson Version
fwr_dl Forward Rate Calculation according to Diebold/Li.
fwr_ns Forward Rate Calculation according to Nelson/Siegel.
fwr_sv Forward Rate Calculation according to Svensson (1994).

-- G --

get_constraints Constraints Selection
get_grad_objfct Gradient Selection Function
get_grad_objfct_bonds Gradient Selection Function
get_objfct Objective Function Selection
get_objfct_bonds Objective Function Selection
get_paramnames Parameter Names
get_realnames Name Conversion
gi Cubic Functions
govbonds European Government Bonds
grad_asv Gradient of the adjusted Svensson Loss Function for Yields
grad_asv_bonds adjusted Svensson Gradient Function
grad_asv_bonds_grid adjusted Svensson Gradient Function for the Grid Search
grad_asv_grid Adjusted Svensson Gradient Function for the Grid Search
grad_dl Gradient of the Diebold/Li Loss Function for Yields
grad_dl_bonds Diebold/Li Gradient function
grad_ns Gradient of the Nelson/Siegel Loss Function for Yields
grad_ns_bonds Nelson/Siegel Gradient Function
grad_ns_bonds_grid Nelson/Siegel Gradient Function for the Grid Search
grad_ns_grid Nelson/Siegel Gradient Function for the Grid Search
grad_sv Gradient of the Svensson Loss Function for Yields
grad_sv_bonds Svensson Gradient Function
grad_sv_bonds_grid Svensson Gradient Function for the Grid Search
grad_sv_grid Svensson Gradient Function for the Grid Search

-- I --

impl_fwr Implied Forward Rate Calculation

-- L --

loss_function Loss Function used for the Term Structure Estimation

-- M --

maturity_range Restricting a Bond Dataset

-- O --

objfct_asv Adjusted Svensson Loss Function for Yields
objfct_asv_bonds Adjusted Svensson Loss Function for Bonds
objfct_asv_bonds_grid Adjusted Svensson Grid Loss Function for Bonds
objfct_asv_grid Adjusted Svensson Grid Loss Function for Yields
objfct_dl Diebold/Li Loss Function for Yields
objfct_dl_bonds Diebold/Li Loss Function for Bonds
objfct_ns Nelson/Siegel Loss Function for Yields
objfct_ns_bonds Nelson/Siegel Loss Function for Bonds
objfct_ns_bonds_grid Nelson/Siegel Grid Loss Function for Bonds
objfct_ns_grid Nelson/Siegel Grid Loss Function for Yields
objfct_sv Svensson Loss Function for Yields
objfct_sv_bonds Svensson Loss Function for Bonds
objfct_sv_bonds_grid Svensson Grid Loss Function for Bonds
objfct_sv_grid Svensson Grid Loss Function for Bonds

-- P --

param Term Structure Parameter Extraction
param.dyntermstrc_nss S3 Param Method
param.dyntermstrc_yields S3 Param Method
plot.df_curves S3 Plot Method
plot.dyntermstrc_nss S3 Plot Method
plot.dyntermstrc_param S3 Plot Method
plot.dyntermstrc_yields S3 Plot Method
plot.error S3 Plot Method
plot.fwr_curves S3 Plot Method
plot.ir_curve S3 Plot Method
plot.spot_curves S3 Plot Method
plot.spsearch S3 Plot Method
plot.s_curves S3 Plot Method
plot.termstrc_cs S3 Plot Method for Cubic Splines
plot.termstrc_nss S3 Plot Method
plot.zeroyields S3 Plot Method
postpro_bond Post Processing of Term Structure Estimation Results
prepro_bond Bonddata preprocess function
print.couponbonds S3 Print Method
print.dyncouponbonds S3 Print Method
print.dyntermstrc_nss S3 Print Method
print.dyntermstrc_yields S3 Print Method
print.summary.dyntermstrc_nss S3 Print Method
print.summary.dyntermstrc_param S3 Print Method
print.summary.dyntermstrc_yields S3 Print Method
print.summary.termstrc_cs S3 Print Method
print.summary.termstrc_nss S3 Print Method
print.termstrc_cs S3 Print Method for termstrc_cs
print.termstrc_nss S3 Print Method
print.zeroyields S3 Print Method

-- R --

rmse Root Mean Squared Error
rm_bond Bond Removal Function
rm_bond.couponbonds S3 Remove Bond Method
rm_bond.dyncouponbonds S3 Remove Bond Method

-- S --

spotrates Function for the Calculation of the Spot Rates
spr_asv Adjusted Svensson Spot rate function
spr_dl Spot Rate Function according to the Diebold and Li Version of the Nelson/Siegel Spot Rate Function
spr_ns Spot Rate Function according to Nelson and Siegel
spr_sv Spot Rate Function according to Svensson
summary.dyntermstrc_nss S3 Summary Method
summary.dyntermstrc_param S3 Summary Method
summary.dyntermstrc_yields S3 Summary Method
summary.termstrc_cs S3 Summary Method for Termstrc_cs
summary.termstrc_nss S3 Summary Method
summary.zeroyields S3 Summary Method

-- T --

termstrc Zero-coupon Yield Curve Estimation

-- Z --

zeroyields Zeroyields Data Set Generation
zyields Zero Coupon Yield Data Set