[R-SIG-Finance] The challenge to fit the greek gov curve with termstrc R Package!
Enrico Schumann
enricoschumann at yahoo.de
Thu Dec 8 17:46:24 CET 2011
[this goes to the list so that others may benefit as well, though I am
not so sure about 'benefit' :) ]
A good start would be to provide a small data set with 'dput', maybe
attached as a txt-file, and the exact things you tried.
Again, I have never used the package, so you may look for help
elsewhere. But here is what I see:
The function 'bond_yields' seems to set the limits for uniroot to -1 and
1; I am not sure if they can be passed with your initial function call
(I will not read the documentation for you). Since the package has a
namespace, you cannot simply create a copy of the function. But you can
use 'trace', with 'edit = TRUE'.
Thus,
> trace(bond_yields, edit = TRUE)
and add the line (say)
searchint = c(-1, 20)
With this I got, with the data set you sent me off-list
$greece
tau_min tau_max gridstepsize
0.2794521 28.8027397 0.2000000
[1] "Searching startparameters for greece"
beta0 beta1 beta2 tau1
2045.9677643 77.8918645 74.3183463 0.2795521
---------------------------------------------------
Estimated Nelson/Siegel parameters:
---------------------------------------------------
greece
beta_0 2045.96776
beta_1 77.89186
beta_2 74.31835
tau_1 0.27951
This is all a bit dirty, and I cannot judge if it is meaningful at all.
Regards,
Enrico
Am 08.12.2011 17:11, schrieb ArvanitisCh at piraeusbank.gr:
> Yes I have searched and not able to find it out
>
> Can you provide some guidance?
>
> I have also send an image data in order to have easily reproducible results would you like to try out?
>
> Regards
> christos
>
> -----Original Message-----
> Sent: Thursday, December 08, 2011 6:06 PM
> To: Αρβανίτης Χρήστος; r-sig-finance at r-project.org
[[elided Yahoo spam]]
>
>
> 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:
[[elided Yahoo spam]]
>>
>> 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
>>
[[elided Yahoo spam]]
>>
>> http://r.789695.n4.nabble.com/Library-termstrc-td3057745.html
>>
>> But I am sure that my data set is arranged properly
>>
[[elided Yahoo spam]]
>>
[[elided Yahoo spam]]
>>
>> 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
>>
>> Tel: • +30 210 3288678
>> Mobile: Ë +30 6936114432
>> e-mail: ArvanitisCh at piraeusbank.gr<mailto:ArvanitisCh at piraeusbank.gr>
>>
>>
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--
Enrico Schumann
Lucerne, Switzerland
http://nmof.net/
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