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Zero Coupon Yield Curve Estimation with the Package termstrc

Ferstl, Robert and Hayden, Josef (2010) Zero Coupon Yield Curve Estimation with the Package termstrc. Journal of Statistical Software 36 (1), pp. 1-34.

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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 ...

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Item Type:Article
Date:August 2010
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Research groups and research centres:Immobilien- und Kapitalmärkte
Related URLs:
URLURL Type
http://www.jstatsoft.org/v36/i01Publisher
http://cran.r-project.org/web/packages/termstrc/index.htmlSoftware
http://r-forge.r-project.org/projects/termstrc/Software
Keywords:fixed income; term structure estimation; global optimization; R
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Owner: Dr. Robert Ferstl
Deposited On:16 Apr 2010 09:31
Last Modified:05 Aug 2010 21:06
Item ID:14402
Owner Only: item control page
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