Applied R functions
Although we have already used some functions from the termstrc
package in the previous example to demonstrate how one can determine the ideal number of knot points and also specify those, this process can be done in an easier manner with some further R functions, as shown in the following command lines:
> x <- estim_cs(govbonds, 'GERMANY') > x$knotpoints[[1]] DE0001135101 DE0001141463 DE0001135218 DE0001135317 0.0000 1.006027 2.380274 5.033425 9.234521 31.44657
First we used the estim_cs
function that estimates the term structure of coupon bonds based on cubic splines (Ferstl-Haydn, 2010) and returns the knot points in a list with the knotpoints
name. Please note that estim_cs
works with a list—just like most functions in ...
Get Introduction to R for Quantitative Finance now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.