Nelson-Siegel model用的是YieldCurve包 Nelson.Siegel()函数
不过你要Svensson model，那就用OptionsPdf包 OptionsPdf-package()
#strike prices
X <- matrix( c(92.00, 94.00, 94.50, 95.00, 95.50, 96.00, 96.50, 97.00,
97.50, 98.00, 98.50, 99.00, 99.50, 100.0, 100.5, 101.0,
101.5, 102.0, 102.5, 103.0, 103.5 ) )
#call prices; Mx1 vector
C <- matrix( c( 5.13, 3.25, 2.83, 2.40, 2.00, 1.64, 1.31, 1.02,
0.770, 0.570, 0.400, 0.280, 0.190, 0.130, 0.0800, 0.0500,
0.0400, 0.0300, 0.0200, 0.0100, 0.0100 ) )
#Forward price, scalar or Mx1 vector
F <- 97.05
#time to expiry in years, scalar
k <- 48/365
#Interest rate: LIFFE margining<->no discounting
r <- 0
#weight matrix for price errors
W <- diag( length(F)+length(X) )
# Two states: solving for 2 means, 2 standard deviations, and
# one probability of the first normal distribution.
# Estimation: (a) Assuming a probability and then optimizing wrt.
# mean1, mean2, std1, and std2.
# (b) (a) is repeated for (Nprob) different values of
# the probability between 0.01 and 0.49.
# Uses forward rate and option data.
#initial parameter guess
par0 <- c(4.58, 4.58, 0.025, 0.005)
#Number of different probabilites in [0.01,0.49] to try
#NProb x 5 matrix to store loop results in NProb <- 43
#probabilities to try
Prob <- matrix(c( linspace(0.03,0.47,NProb) ))
Par2M <- repmat( NaN,NProb,4)
#NProb x 1 vector to store loss fn values
Loss2M <- repmat( NaN,NProb,1 )
i <- 1;
#looping over different probabilities
for (i in 1:NProb) {
#[Prob(i);1-Prob(i)][[PROB（i）的1-PROB（ⅰ）]]
Probi <- matrix(c( Prob, 1-Prob ) )
results2 <- optim(par0, OptionMixLNormLoss,
gr=NULL, Probi, k, r, X, F, C, W)
Par2M[i,] <- t(c( results2$par ))
Loss2M <- t(c( results2$value ))
}
#index of iteration with minimum loss
MinLossIndex <- find( Loss2M==min(Loss2M) )
#Parameters at minimum loss
par2 <- matrix(c(Par2M[MinLossIndex,], Prob[MinLossIndex]))
S <- linspace(4.47, 4.68, 100)
pdf2 <- MixedNormalPdf( matrix(S), matrix(c(par2[1:2])),
matrix(c(par2[3:4]^2)), matrix(c(par2[5],1-par2[5])) )
plot( S, pdf2$pdf, type="b", col="red", xlab="log Bund price",
main="Pdf from LIFFE Bunds option data, 6 April 1994 - 2")
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