|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:: 16694. Submitted: 2009-01-21. Published: 2010-08-05.
Zero-Coupon Yield Curve Estimation with the Package termstrc
This work is licensed under the licenses
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.