Leitura do Dia - Zero-Coupon Yield Curve Estimation with the Package termstrc

Zero-Coupon Yield Curve Estimation with the Package termstrc
Journal of Statistical Software, Vol. 36, Issue 1, Aug 2010

Robert Ferstl, Josef Hayden

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 range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. It provides extensive summary statistics and plots to compare the results of the different estimation methods. We illustrate the application of the package through practical examples using market data from European government bonds and yields.

Excelente análise de modelos de ajuste da curva de juros. Em especial eles tratam corretamente dos problemas de identificação na estimação de modelos da família Nelson-Siegel-Svensson, além de constribuir com todos os algoritmos e programas.