[R-SIG-Finance] The challenge to fit the greek gov curve with termstrc R Package!
Enrico Schumann
enricoschumann at yahoo.de
Thu Dec 8 17:05:44 CET 2011
Hi Christos
first, I don't use the termstrc package, so this is all guess work.
If the bonds mature reasonably soon (say, next year), and have a price
of 30 or so, they will have a high yield-to-maturity.
Now, 'uniroot' could be used to compute a yield to maturity. But
'uniroot' requires a search interval. I would not be unreasonable to
suspect that this interval does not include yields of, say, 150%.
So, if all these guesses are right, you need to figure out where this
interval is set, and just increase its width (to, say, 300% or so).
I hope that I am not completely off-track here ... ;)
Regards,
Enrico
Am 08.12.2011 16:27, schrieb ArvanitisCh at piraeusbank.gr:
> Hello to everyone!
>
> I am trying to calculate ZC Greek Govt curve using the termstrc R package.
>
> I have list arrange my dataset as prescribed in the termstrc package
>
> When I run cs_res<- estim_nss(cbonds,"greece") I am getting the following error:
>
> Error in uniroot(pvcashflows, searchint, tol = tol, maxiter = 3000) :
> f() values at end points not of opposite sign
>
> searching a bit at the forum i have found a link which says that this is because the data set is not arranged as it should!
>
> http://r.789695.n4.nabble.com/Library-termstrc-td3057745.html
>
> But I am sure that my data set is arranged properly
>
> The only issue that may cause this error is the low market prices of the bonds at this period!!!!
>
> When I shifted the bond prices by 60 figures [29--->89] the error is removed !!!
>
> Is there any way to fix this issue and calculate the Curve??
>
> Tnks in advance for your help
>
> Regards
> Christos
>
> PS The structure of my datasets is:
>
> List of 5
> $ greece :List of 8
> ..$ ISIN : chr [1:11] "GR0114020457" "GR0114022479" "GR0114023485" "GR0124028623" ...
> ..$ MATURITYDATE:Class 'Date' num [1:11] 15571 16301 16666 17001 17366 ...
> ..$ ISSUEDATE :Class 'Date' num [1:11] 13573 14271 14641 13165 13529 ...
> ..$ COUPONRATE : num [1:11] 4.1 5.5 6.1 3.6 4.3 4.6 6 6.5 6.25 5.3 ...
> ..$ PRICE : num [1:11] 29.7 20.9 24.5 19.8 19.5 ...
> ..$ ACCRUED : num [1:11] 1.29 1.73 1.92 1.44 1.72 ...
> ..$ CASHFLOWS :List of 3
> .. ..$ ISIN: chr [1:96] "GR0114020457" "GR0114022479" "GR0114022479" "GR0114022479" ...
> .. ..$ CF : num [1:96] 104.1 5.5 5.5 105.5 6.1 ...
> .. ..$ DATE:Class 'Date' num [1:96] 15571 15571 15936 16301 15571 ...
> ..$ TODAY :Class 'Date' num 15316
> $ germany:List of 8
> ..$ ISIN : chr [1:11] "DE0001137321" "DE0001141547" "DE0001141562" "DE0001141596" ...
> ..$ MATURITYDATE:Class 'Date' num [1:11] 15687 16170 16492 16856 17169 ...
> ..$ ISSUEDATE :Class 'Date' num [1:11] 14924 14329 14623 14987 13468 ...
> ..$ COUPONRATE : num [1:11] 1 2.25 2.5 2 3.75 4 3.75 3.25 2.5 6.25 ...
> ..$ PRICE : num [1:11] 101 105 106 105 113 ...
> ..$ ACCRUED : num [1:11] 1.08 1.51 1.98 1.82 3.52 ...
> ..$ CASHFLOWS :List of 3
> .. ..$ ISIN: chr [1:98] "DE0001137321" "DE0001137321" "DE0001141547" "DE0001141547" ...
> .. ..$ CF : num [1:98] 1.09 101 2.25 2.25 102.25 ...
> .. ..$ DATE:Class 'Date' num [1:98] 15321 15687 15440 15805 16170 ...
> ..$ TODAY :Class 'Date' num 15316
> $ us :List of 8
> ..$ ISIN : chr [1:6] "US912828PW43" "US912810PZ57" "US912828PM60" "US912828PN44" ...
> ..$ MATURITYDATE:Class 'Date' num [1:6] 15704 21563 16799 17530 18488 ...
> ..$ ISSUEDATE :Class 'Date' num [1:6] 14973 14273 14973 14973 14836 ...
> ..$ COUPONRATE : num [1:6] 0.625 2.5 2.125 2.75 2.625 ...
> ..$ PRICE : num [1:6] 100 132 106 109 106 ...
> ..$ ACCRUED : num [1:6] 0.275 0.999 0.935 1.211 0.827 ...
> ..$ CASHFLOWS :List of 3
> .. ..$ ISIN: chr [1:136] "US912828PW43" "US912828PW43" "US912828PW43" "US912810PZ57" ...
> .. ..$ CF : num [1:136] 0.312 0.312 100.312 1.32 1.345 ...
> .. ..$ DATE:Class 'Date' num [1:136] 15338 15520 15704 15353 15535 ...
> ..$ TODAY :Class 'Date' num 15316
> $ ote :List of 8
> ..$ ISIN : chr [1:3] "XS0173549659" "XS0275776283" "XS0346402463"
> ..$ MATURITYDATE:Class 'Date' num [1:3] 15921 16940 16477
> ..$ ISSUEDATE :Class 'Date' num [1:3] 12268 13472 13920
> ..$ COUPONRATE : num [1:3] 5 4.62 6
> ..$ PRICE : num [1:3] 72.2 57.7 62
> ..$ ACCRUED : num [1:3] 1.78 2.62 5
> ..$ CASHFLOWS :List of 3
> .. ..$ ISIN: chr [1:11] "XS0173549659" "XS0173549659" "XS0275776283" "XS0275776283" ...
> .. ..$ CF : num [1:11] 5 105 4.62 4.62 4.62 ...
> .. ..$ DATE:Class 'Date' num [1:11] 15556 15921 15479 15844 16209 ...
> ..$ TODAY :Class 'Date' num 15316
> $ eurob :List of 8
> ..$ ISIN : chr [1:3] "XS0443680052" "XS0291422979" "XS0284635702"
> ..$ MATURITYDATE:Class 'Date' num [1:3] 15746 15426 16105
> ..$ ISSUEDATE :Class 'Date' num [1:3] 14466 13599 13548
> ..$ COUPONRATE : num [1:3] 4.38 1.68 1.78
> ..$ PRICE : num [1:3] 56.4 80.7 55.3
> ..$ ACCRUED : num [1:3] 3.656 0.356 0.178
> ..$ CASHFLOWS :List of 3
> .. ..$ ISIN: chr [1:13] "XS0443680052" "XS0443680052" "XS0291422979" "XS0291422979" ...
> .. ..$ CF : num [1:13] 4.375 104.375 0.426 100.404 0.45 ...
> .. ..$ DATE:Class 'Date' num [1:13] 15380 15746 15335 15426 15375 ...
> ..$ TODAY :Class 'Date' num 15316
> - attr(*, "class")= chr "couponbonds"
>
> ____________________________________
> Christos Arvanitis
> Assistant Manager
> Treasury Support Operations
> PIRAEUS BANK S.A.
> 5 Korai str., Athens, GR 10564
>
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Enrico Schumann
Lucerne, Switzerland
http://nmof.net/
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