65 lines
1.7 KiB
R
65 lines
1.7 KiB
R
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library("scatterplot3d")
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##
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## implémentation de la courbe de Nelson-Siegel
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##
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## Lecture des taux spot
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taux <- t(read.table("usgg.csv",header=T, sep=";",na.strings = "#NA")
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[seq(from=1,to=5758,by=30),2:6])
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length(taux)
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temps <- c(.25,2,3,5,10)
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## fonction Nelson-Siegel originale
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f0t <- function(PAR,t)
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{
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PAR[1] + (PAR[2]+PAR[3]*t)*exp(-PAR[4]*t)
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}
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## fonction objectif
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f0obj <- function(PAR,temps,taux)
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{
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sum((taux-f0t(PAR,temps))^2)
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}
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## fonction qui retourne les paramètres
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NelsonSiegel <- function(taux,temps)
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{
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m1 <- optim(c(1,1,1,1),f0obj,gr=NULL,temps,taux)
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m1$par
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}
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## dimensions pour le graphique
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duration <- seq(from=0,to=12,by=0.1)
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timeline <- 1:dim(taux)[2]
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## calcul des paramètres pour chaque courbe
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parametres <- apply(taux,2,NelsonSiegel,temps)
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## calcul des points du graphique
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pointsgraph <- cbind(rep(timeline,each=length(duration)),duration,
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as.vector(apply(parametres,2,f0t,duration)))
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## tracer le graphique
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pdf("nelsonsiegel-plots.pdf")
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scatterplot3d(pointsgraph,type="l", pch=20,
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xlab="Observations",
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ylab="Duration(t)", zlab="r(t)")
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plot(pointsgraph[pointsgraph[,1]==1,][,-1],type="l",main="Temps 1",
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xlab="Duration (t)",
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ylab="r(t)",ylim=c(0,10))
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points(temps,taux[,1])
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plot(pointsgraph[pointsgraph[,1]==61,][,-1],type="l",main="Temps 61",
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xlab="Duration (t)",
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ylab="r(t)",ylim=c(0,10))
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points(temps,taux[,61])
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plot(pointsgraph[pointsgraph[,1]==121,][,-1],type="l",main="Temps 121",
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xlab="Duration (t)",
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ylab="r(t)",ylim=c(0,10))
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points(temps,taux[,121])
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plot(pointsgraph[pointsgraph[,1]==181,][,-1],type="l",main="Temps 181",
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xlab="Duration (t)",
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ylab="r(t)",ylim=c(0,10))
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points(temps,taux[,181])
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dev.off()
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