splines_estim            package:termstrc            R Documentation

_T_e_r_m _S_t_r_u_c_t_u_r_e _a_n_d _C_r_e_d_i_t _S_p_r_e_a_d _E_s_t_i_m_a_t_i_o_n _w_i_t_h _C_u_b_i_c _S_p_l_i_n_e_s _M_e_t_h_o_d

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

     Term structure and credit spread estimation with cubic splines
     method

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

     splines_estim(group,
                   bonddata,
                   matrange = "all")

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

   group: vector defining the group of bonds used for the
          estimation,\newline e.g. 'c("GERMANY","AUSTRIA")'

bonddata: a dataset of bonds in list format

matrange: use '"all"' for no restrictions, or restrict the maturity
          range used for the estimation with 'c(lower,upper)' 

_D_e_t_a_i_l_s:

'_g_r_o_u_p' The first element of the vector will be used as the reference
     country for the credit spread estimation. The group can be either
     a vector of groups or a scalar.

'_b_o_n_d_d_a_t_a' The package is tailored to the included data sets. Therefore
     the structure and the naming convention of other used data sets
     has to be identical.   Use the function 'str()' to explore the
     structure of the provided datasets.

_V_a_l_u_e:

     The function 'splines_estim' returns a list with the following
     elements or sub-lists:

   group: groups used from data set

matrange: maturity range

 n_group: the number of groups used for the optimisation

zcy_curves: values for plotting the estimated zero-coupon yield curves

 scurves: values for plotting the spread curves

      cf: cashflows matrix for all specified groups

       m: maturity matrix for all specified groups

duration: duration, weighted duration and duration based weights

       p: dirty prices

    phat: estimated bond prices

       y: bond yields

    yhat: theoretical bond yields calculated with the estimated bond
          prices 'phat'

   alpha: OLS coefficients of cubic splines estimation

_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_ 

     J.Huston McCulloch (1971): Measuring the Term Structure of
     Interest Rates. _The Journal of Business, *44* 19-31._ 

     J. Huston McCulloch (1975): The Tax-Adjusted Yield Curve. _The
     Journal of Finance, *30* 811-830._ 

     Sanjay K. Nawalkha and Gloria M. Soto and Natalia K. Beliaeva
     (2005): Interest Rate Risk Modeling : The Fixed Income Valuation
     Course _Wiley Finance,60-67_

_S_e_e _A_l_s_o:

     for another estimation method see 'nelson_estim'

_E_x_a_m_p_l_e_s:

     demo(euro02)

