ns
语法
ns(maturity, yield, [method='nm'], [maxIter], [bounds], [initialGuess],
[seed])
语法
使用 NS 模型和指定的优化方法，拟合债券的收益率曲线。
返回一个字典，详见 nss。
语法
initialGuess 可选参数，数值向量，表示使函数最优化的参数的初始猜测。长度为 4，每个值分别表示 β0, β1, β2, λ 的初始猜测，默认值为 [0.01, 0.01, 0.01, 1.0]。
其余参数详见 nss。
语法
传入指定的模型名称与参数，使用 bfgs
优化方法，拟合债券的收益率曲线。
maturity = [1,2,3,4,5,8,10,15,20,25,30]
yield = [0.0039,0.0061,NULL,NULL,0.0166,NULL,0.0258,NULL,NULL,0.0332,NULL]
model = ns(maturity, yield, method='bfgs');
model;
/*Output
modelName->ns
params->[0.037907009765789,-0.032345632006991,-0.048221596538028,1.48711064869407]
fminResult->xopt->[0.037907009765789,-0.032345632006991,-0.048221596538028,1.48711064869407]
fopt->7.682740281926149E-8
gopt->[0.000007050477817,-0.000001557728067,8.217072418048589E-7,-7.435919702203364E-8]
iterations->29
Hinv->#0 #1 #2 #3
------------------- --------------------- -------------------- ---------------------
1.046957491287936 -2.422265785994416 4.016547235964936 174.575362711334378
-2.422265785994413 20.767722224747515 -55.516118469836506 -1160.911707217612729
4.016547235964929 -55.516118469836506 162.441840532431541 3127.297987855009978
174.575362711334378 -1160.911707217613638 3127.297987855011797 72743.950482441126951
warnFlag->0
fcalls->165
gcalls->33
predict->nssPredict
*/若更换优化算法为
nm，返回值将发生变化。
model = ns(maturity, yield, method='nm');
model;
/*Output
modelName->ns
modelName->ns
params->[-0.017297505365068,0.016544815374471,0.142682692134247,14.720778706012911]
fminResult->xopt->[-0.017297505365068,0.016544815374471,0.142682692134247,14.720778706012911]
fopt->0.000001443427918
iterations->446
fcalls->740
warnFlag->0
predict->nssPredict
*/相关函数：nss