test_that("multi-start NS produces same or better fit than single-start baseline", { d <- make_us_yields() fit <- yc_nelson_siegel(d$maturities, d$rates) rmse <- sqrt(mean(fit$residuals^2)) # Multi-start should achieve good fit expect_true(rmse < 0.005) expect_s3_class(fit, "yc_curve") }) test_that("multi-start NS recovers known parameters", { beta0 <- 0.06 beta1 <- -0.02 beta2 <- 0.01 tau <- 2 m <- c(0.5, 1, 2, 5, 10, 30) synthetic <- beta0 + beta1 * ((1 - exp(-m / tau)) / (m / tau)) + beta2 * ((1 - exp(-m / tau)) / (m / tau) - exp(-m / tau)) # Use a deliberately bad tau_init to test multi-start robustness fit <- yc_nelson_siegel(m, synthetic, tau_init = 10) rmse <- sqrt(mean(fit$residuals^2)) expect_true(rmse < 0.001) expect_equal(fit$params$beta0, beta0, tolerance = 0.005) expect_equal(fit$params$tau, tau, tolerance = 0.1) }) test_that("multi-start NS works with weighted fitting", { d <- make_us_yields() w <- rep(1, length(d$maturities)) w[d$maturities %in% c(10, 30)] <- 10 fit <- yc_nelson_siegel(d$maturities, d$rates, weights = w) expect_s3_class(fit, "yc_curve") rmse <- sqrt(mean(fit$residuals^2)) expect_true(rmse < 0.01) }) test_that("multi-start Svensson produces same or better fit than NS", { d <- make_us_yields() ns_fit <- yc_nelson_siegel(d$maturities, d$rates) sv_fit <- yc_svensson(d$maturities, d$rates) ns_rmse <- sqrt(mean(ns_fit$residuals^2)) sv_rmse <- sqrt(mean(sv_fit$residuals^2)) # Svensson should fit at least as well expect_true(sv_rmse <= ns_rmse + 1e-6) }) test_that("multi-start Svensson recovers known parameters", { beta0 <- 0.06 beta1 <- -0.02 beta2 <- 0.01 beta3 <- -0.005 tau1 <- 2 tau2 <- 5 m <- c(0.25, 0.5, 1, 2, 3, 5, 7, 10, 20, 30) f1 <- (1 - exp(-m / tau1)) / (m / tau1) f2 <- f1 - exp(-m / tau1) f3 <- (1 - exp(-m / tau2)) / (m / tau2) - exp(-m / tau2) synthetic <- beta0 + beta1 * f1 + beta2 * f2 + beta3 * f3 # Use deliberately off starting values fit <- yc_svensson(m, synthetic, tau1_init = 8, tau2_init = 1) rmse <- sqrt(mean(fit$residuals^2)) expect_true(rmse < 0.001) }) test_that("multi-start Svensson handles inverted curve", { d <- make_inverted_yields() fit <- yc_svensson(d$maturities, d$rates) expect_s3_class(fit, "yc_curve") rmse <- sqrt(mean(fit$residuals^2)) expect_true(rmse < 0.005) })