Hi,
I'm trying to invoke the function bond_prices from termstrc package.
Here is the code snippet:
library(termstrc)
data(eurobonds)
b <- matrix(rep(c(0,0,0, 1),1),nrow=1,byrow=TRUE)
group<-c("GERMANY")
colnames(b) <- c("beta0","beta1","beta2","tau1")
germaturities<-create_maturities_matrix(eurobonds$GERMANY)
bp<-bond_prices(method =
"Nelson/Siegel",b,germaturities,eurobonds$GERMANY$CASHFLOWS$CF)
bp
Running this, I get the following warning message:
In cf * discount_factors :
longer object length is not a multiple of shorter object length
Also the values I get (bp) seems not correct (way too high). I'm not sure if
I need to change b.
I'm on Windows XP and using R-2.7.2 + *termstrc* 1.1.
Any help will be appreciated.
Regards,
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