splines_estim {termstrc}R Documentation

Discount Curve Estimation with McCulloch Cubic Splines

Description

Discount curve estimation with the cubic splines approach by McCulloch (1975).

Usage

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

Arguments

group vector defining the group of bonds used for the estimation, e.g. c("GERMANY","AUSTRIA").
bonddata a data set of bonds in list format.
matrange use "all" for no restrictions, or restrict the maturity range used for the estimation with c(lower,upper).

Details

Value

The function splines_estim returns an object of the class "cubicsplines". The object contains the following items (mainly lists):

group group of bonds (e.g. countries) used for the estimation.
matrange "none" or a vector with the maturity range.
n_group length of object group, i.e. the number of countries.
knotpoints selected knot points for the cubic splines estimation.
spot zero-coupon yield curves as object of the class "spot_curves".
spread spread curves as object of the class "s_curves".
forward forward curves as object of the class "fwr_curves".
discount discount curves as object of the class "df_curves".
cf cashflow matrices.
m maturity matrices.
p dirty prices.
phat estimated bond prices.
perrors pricing errors and maturities as object of the class "error".
y bond yields.
yhat one list for each group with the theoretical bond yields calculated with the estimated bond prices phat.
yerrors yield errors and maturities as object of the class "error".
alpha OLS coefficients of cubic splines estimation.
regout OLS estimation results as object of the class "lm".

Note

For objects of the class "spot_curves", "s_curves", "df_curves", "fwr_curves", "error" appropriate plot methods are offered. For objects of the list item regout standard lm methods apply. For objects of the class "cubicsplines" print, summary and plot methods are available. Another term structure estimation method is provided by the function nelson_estim.

References

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.

See Also

print.cubicsplines, summary.cubicsplines, plot.cubicsplines, nelson_estim, plot.spot_curves, plot.s_curves, plot.df_curves, plot.fwr_curves, plot.error, summary.lm, print.lm, plot.lm.

Examples

# load data set
data(eurobonds)

# define countries, for which the estimation 
# of the zero-coupon yield curves will be carried out
group <- c("GERMANY", "AUSTRIA", "ITALY")

# define data set
bonddata <- eurobonds

# set maturtiy range
matrange <- c(0, 19)  

# perform estimation
x <- splines_estim(group, bonddata, matrange)

# print the obtained parameters of the estimation
print(x)

# goodness of fit measures
summary(x)

# plot the zero-coupon yield curve for each country
plot(x,errors="none")

# plot all zero-coupon yield curves together
plot(x,multiple=TRUE,errors="none")

# spread curve splot
plot(x,ctype="spread",errors="none")

# price error plot for all countries
plot(x,ctype="none")

[Package termstrc version 1.1.1 Index]