termstrc package

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termstrc package

Glenn Schultz
All,

I have set-up the the termstrc list to fit UST curves.  I have succefully used the package to fit agency mortgage backed security curves.  However, for some reason I am running into problem with the UST.  I have dput the list below.  Obviously, I have something wrong here but I gone over the list for quite awhile and compared to govbonds data.  At this point I just cannot see what I am have wrong.  Any help is appreciated.

Glenn

structure(list(OTR = structure(list(ISIN = c("912828S68", "912828XS4",
"912828S76", "9128282A7", "912810RT7"), MATURITYDATE = structure(c(17378,
18047, 18808, 20680, 27985), class = "Date"), ISSUEDATE = structure(c(17014,
17317, 16982, 17028, 17028), class = "Date"), COUPONRATE = c(0.0075,
0.01125, 0.01125, 0.015, 0.0225), PRICE = c(100, 100, 100, 100,
100), ACCRUED = c(607.523148148148, 2859.375, 424.21875, 1529.28240740741,
2293.92361111111), TODAY = logical(0), CASHFLOWS = structure(list(
ISIN = c("912828S68", "912828XS4", "912828XS4", "912828XS4",
"912828XS4", "912828S76", "912828S76", "912828S76", "912828S76",
"912828S76", "912828S76", "912828S76", "912828S76", "912828S76",
"9128282A7", "9128282A7", "9128282A7", "9128282A7", "9128282A7",
"9128282A7", "9128282A7", "9128282A7", "9128282A7", "9128282A7",
"9128282A7", "9128282A7", "9128282A7", "9128282A7", "9128282A7",
"9128282A7", "9128282A7", "9128282A7", "9128282A7", "912810RT7",
"912810RT7", "912810RT7", "912810RT7", "912810RT7", "912810RT7",
"912810RT7", "912810RT7", "912810RT7", "912810RT7", "912810RT7",
"912810RT7", "912810RT7", "912810RT7", "912810RT7", "912810RT7",
"912810RT7", "912810RT7", "912810RT7", "912810RT7", "912810RT7",
"912810RT7", "912810RT7", "912810RT7", "912810RT7", "912810RT7",
"912810RT7", "912810RT7", "912810RT7", "912810RT7", "912810RT7",
"912810RT7", "912810RT7", "912810RT7", "912810RT7", "912810RT7",
"912810RT7", "912810RT7", "912810RT7", "912810RT7", "912810RT7",
"912810RT7", "912810RT7", "912810RT7", "912810RT7", "912810RT7",
"912810RT7", "912810RT7", "912810RT7", "912810RT7", "912810RT7",
"912810RT7", "912810RT7", "912810RT7", "912810RT7", "912810RT7",
"912810RT7", "912810RT7", "912810RT7"), CF = c(1003770.83333333,
5718.75, 5687.5, 5718.75, 1005687.5, 5656.25, 5750, 5656.25,
5750, 5656.25, 5750, 5687.5, 5750, 1005656.25, 7541.66666666667,
7666.66666666667, 7541.66666666667, 7666.66666666667, 7541.66666666667,
7666.66666666667, 7583.33333333333, 7666.66666666667, 7541.66666666667,
7666.66666666667, 7541.66666666667, 7666.66666666667, 7541.66666666667,
7666.66666666667, 7583.33333333333, 7666.66666666667, 7541.66666666667,
7666.66666666667, 1007541.66666667, 11312.5, 11500, 11312.5,
11500, 11312.5, 11500, 11375, 11500, 11312.5, 11500, 11312.5,
11500, 11312.5, 11500, 11375, 11500, 11312.5, 11500, 11312.5,
11500, 11312.5, 11500, 11375, 11500, 11312.5, 11500, 11312.5,
11500, 11312.5, 11500, 11375, 11500, 11312.5, 11500, 11312.5,
11500, 11312.5, 11500, 11375, 11500, 11312.5, 11500, 11312.5,
11500, 11312.5, 11500, 11375, 11500, 11312.5, 11500, 11312.5,
11500, 11312.5, 11500, 11375, 11500, 11312.5, 11500, 1011312.5
), DATE = structure(c(17378, 17500, 17682, 17865, 18047,
17347, 17531, 17712, 17896, 18077, 18261, 18443, 18627, 18808,
17393, 17577, 17758, 17942, 18123, 18307, 18489, 18673, 18854,
19038, 19219, 19403, 19584, 19768, 19950, 20134, 20315, 20499,
20680, 17393, 17577, 17758, 17942, 18123, 18307, 18489, 18673,
18854, 19038, 19219, 19403, 19584, 19768, 19950, 20134, 20315,
20499, 20680, 20864, 21045, 21229, 21411, 21595, 21776, 21960,
22141, 22325, 22506, 22690, 22872, 23056, 23237, 23421, 23602,
23786, 23967, 24151, 24333, 24517, 24698, 24882, 25063, 25247,
25428, 25612, 25794, 25978, 26159, 26343, 26524, 26708, 26889,
27073, 27255, 27439, 27620, 27804, 27985), class = "Date")), .Names = c("ISIN",
"CF", "DATE"))), .Names = c("ISIN", "MATURITYDATE", "ISSUEDATE",
"COUPONRATE", "PRICE", "ACCRUED", "TODAY", "CASHFLOWS"))), .Names = "OTR", class = "couponbonds")

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