Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Robert Ferstl, Josef Hayden
Title: Zero-Coupon Yield Curve Estimation with the Package termstrc
Abstract: Since zero-coupon rates are rarely directly observable, they have to be estimated from market data. In this paper we review several widely-used parametric term structure estimation methods. We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Moreover, we introduce the R package termstrc, which offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. It provides extensive summary statistics and plots to compare the results of the different estimation methods. We illustrate the application of the package through practical examples using market data from European government bonds and yields.

Page views:: 18519. Submitted: 2009-01-21. Published: 2010-08-05.
Paper: Zero-Coupon Yield Curve Estimation with the Package termstrc     Download PDF (Downloads: 28630)
termstrc_1.3.2.tar.gz: R source package Download (Downloads: 1012; 65KB)

DOI: 10.18637/jss.v036.i01

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.