Zero-coupon Yield Curve Estimation

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Documentation for package ‘termstrc’ version 1.1.1

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termstrc-package Zero-coupon Yield Curve Estimation
aabse Average Absolute Mean Error
bond_prices Bond Price Calculation
bond_yields Bond Yield Calculation
corpbonds Corporate Bonds
create_cashflows_matrix Cashflows Matrix Creation
create_maturities_matrix Maturity Matrix Creation
duration Duration, modified Duration and Duration based Weights
eurobonds European Government Bonds
forwardrates Forward Rate Calculation
fwr_ns Forward Rate Calculation according to Nelson/Siegel
fwr_sv Forward Rate Calculation according to Svensson (1994).
gi Cubic Functions
govbonds European Government Bonds
impl_fwr Implied Forward Rate Calculation
loss_function Loss Function used for the Term Structure Estimation
maturity_range Restricting a Bond Dataset
nelson_estim Zero-coupon Yield Curve Estimation with the Nelson/Siegel, Svensson Method
nelson_siegel Spot Rate Function according to Nelson/Siegel
plot.cubicsplines S3 Plot Method for Cubic Splines
plot.df_curves S3 Plot Method
plot.error S3 Plot Method
plot.fwr_curves S3 Plot Method
plot.ir_curve S3 Plot Method
plot.nelson S3 Plot Method
plot.spot_curves S3 Plot Method
plot.s_curves S3 Plot Method
print.cubicsplines S3 Print Method for Cubicsplines
print.nelson S3 Print Method
print.summary.cubicsplines S3 Print Method
print.summary.nelson S3 Print Method
rmse Root Mean Squared Error
rm_bond Remove Bonds from a Dataset
splines_estim Discount Curve Estimation with McCulloch Cubic Splines
spotrates Function for the Calculation of the Spot Rates
summary.cubicsplines S3 Summary Method for Cubicsplines
summary.nelson S3 Summary Method
svensson Spot Rate Function according to Svensson
termstrc Zero-coupon Yield Curve Estimation