loss_function            package:termstrc            R Documentation

_L_o_s_s _F_u_n_c_t_i_o_n _u_s_e_d _f_o_r _t_h_e _T_e_r_m _S_t_r_u_c_t_u_r_e _E_s_t_i_m_a_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     The loss function defines the objective function used for the
     optimisation.

_U_s_a_g_e:

     loss_function(p, phat, omega, weights)

_A_r_g_u_m_e_n_t_s:

       p: observed prices, yields

    phat: estimated prices, yields

   omega: weights 

 weights: if '"none"' the squared deviation of 'p' and 'phat' is not
          weighted, use '"duration"' for a duration weighted
          optimization

_A_u_t_h_o_r(_s):

     Robert Ferstl, Josef Hayden

_R_e_f_e_r_e_n_c_e_s:

     David Bolder and David Streliski (1999): Yield Curve Modelling at
     the Bank of Canada._Technical Report No 84 Bank of Canada_

