File:Fwdrates EUR.png
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[edit]DescriptionFwdrates EUR.png |
Deutsch: Forward Raten vom 26.1.2006. Daten aus dem Handelsblatt, die Funktionen behalte ich für mich. R-Quelltext: #Zinsdaten aus dem Handelsblatt vom 24.1.2006 ohne 8, 9, 15, 20, 25 und 30 Jahre # langfristig: swaps (geldkurs) sc=list(rate=c(2.87,3.05,3.14,3.21,3.27,3.31,3.36,3.50)/100, maturity=c(1:7,10), tenors=c(seq(1,1,length=7),3), date="2006-01-24") # kurzfristig: libor lc=list(rate=c(2.385,2.453,2.524,2.653,2.838)/100, maturity=c(1,2,3,6,12)/12, date="2006-01-24") #einige von mir geschriebene Funktionen wandeln in fwd-raten um lfwd=libor2fwd(lc) dc=swap2discount(sc) sfwd=discount2fwd(dc) fwd<-fwdMerge(lfwd, sfwd) #schätze parametrisierte Familien (NS und SV) r =nlm(f=l2norm,p=c(fwd$rate[length(fwd$rate)],fwd$rate[1]-fwd$rate[length(fwd$rate)], 0.12,0.24),y=cbind(fwd$maturity,fwd$rate),steptol=1e-10,iterlim=500, familie="ns") rs=nlm(f=l2norm,p=c(fwd$rate[length(fwd$rate)],fwd$rate[1]-fwd$rate[length(fwd$rate)],-0.10,0.11,0.1,0.15),y=cbind(fwd$maturity,fwd$rate),steptol=1e-10,iterlim=500, familie="svensson") png(filename = "Fwdrates_EUR.png", width=1024, height=768, pointsize = 12) par(bg="lightgrey") #zeichne Forward Raten (und Familien): plot(fwd$maturity,fwd$rate,type="p",col=6,lwd=2, main=paste("EUR forwardrate-estimate for ",fwd$date), xlab="time to maturity [in yrs]", ylab="fwd", axes=FALSE) lines(seq(from=min(fwd$maturity),to=max(fwd$maturity),length=1000),nelsonsiegel(x=seq(from=min(fwd$maturity),to=max(fwd$maturity),length=1000),r$estimate), lty=2 ,col="blue", lwd=2) lines(seq(from=min(fwd$maturity),to=max(fwd$maturity),length=1000),svensson(x=seq(from=min(fwd$maturity),to=max(fwd$maturity),length=1000),rs$estimate), lty=3, col="green", lwd=3) legend(x="bottomright",inset=0.01,legend=c("forward rate","Nelson-Siegel","Svensson"),col=c(6,"blue","green"),lwd=2, lty=c(0,2,3), pch=c(1,-1,-1)) yticks=axTicks(2) axis(side=2,at=yticks,labels=paste(format(100*yticks,digits=3),"%",sep="")) axis(1) box()dev.off() |
Date | 9 February 2006 (original upload date) |
Source | selbst erstellt mit GNU R. |
Author | Thomas Steiner |
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[edit]Thire at the German-language Wikipedia, the copyright holder of this work, hereby publishes it under the following license:
Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License, Version 1.2 or any later version published by the Free Software Foundation; with no Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts. A copy of the license is included in the section entitled GNU Free Documentation License.http://www.gnu.org/copyleft/fdl.htmlGFDLGNU Free Documentation Licensetruetrue |
This file is licensed under the Creative Commons Attribution-Share Alike 3.0 Unported license. | ||
Attribution: Thire | ||
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This licensing tag was added to this file as part of the GFDL licensing update.http://creativecommons.org/licenses/by-sa/3.0/CC BY-SA 3.0Creative Commons Attribution-Share Alike 3.0truetrue |
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[edit]Transferred from de.wikipedia to Commons by Wikijunkie using CommonsHelper.
The original description page was here. All following user names refer to de.wikipedia.
- 2006-02-09 13:52 Thire 1024×768× (7584 bytes) neue version, besser, schöner richtiger
- 2006-02-09 13:27 Thire 1024×768× (7650 bytes) *Beschreibung: Forward Raten vom 26.1.2006. Daten aus dem Handelsblatt, die Funktionen behalte ich für mich. *Quelle: selbst erstellt mit [[GNU R]]. *Zeichner: [[Benutzer:Thire|Thomas Steiner]] {{Bild-GFDL}} R-Quelltext: #Zinsdaten aus dem Handelsblatt
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current | 20:04, 17 August 2011 | 1,024 × 768 (7 KB) | File Upload Bot (Magnus Manske) (talk | contribs) | {{BotMoveToCommons|de.wikipedia|year={{subst:CURRENTYEAR}}|month={{subst:CURRENTMONTHNAME}}|day={{subst:CURRENTDAY}}}} {{Information |Description={{de|Forward Raten vom 26.1.2006. Daten aus dem Handelsblatt, die Funktionen behalte ich für mich.<br/> R-Q |
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