Package fBonds - Svensson function

[Dott. Sergio Guirreri]

I want to inform you about the result of the function "Svensson"  in the
package "fBonds" . I want to estimate the parameters of a term structure
but the resulting tau1 parameter is negative in contrast with the theory
of Svensson model!!

What happens ? why ? It's a my mistake ?

The data are:

  m6       y1       y5       y7      y10      y20 
3.550001 3.583334 4.875673 5.198603 5.324215 5.848792 

Kind Regards SG


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__________________________________________
Dott. Sergio S. Guirreri

University of Palermo

Department of Science Statistics and Mathematical "S. Vianelli" - http://dssm.unipa.it

tel: (+39) 0916626442 - http://www.webalice.it/sergio.guirreri