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

Tel:         •   +30 210 3288678
Mobile:     Ë    +30 6936114432
e-mail:            ArvanitisCh@piraeusbank.gr<mailto:ArvanitisCh@piraeusbank.gr>



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