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SmithWilsonYieldCurve (version 1.0.1)
Smith-Wilson Yield Curve Construction
Description
Constructs a yield curve by the Smith-Wilson method from a table of LIBOR and SWAP rates
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Version
Version
1.0.1
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Install
install.packages('SmithWilsonYieldCurve')
Monthly Downloads
11
Version
1.0.1
License
GPL-3
Maintainer
Phil Joubert
Last Published
June 19th, 2013
Functions in SmithWilsonYieldCurve (1.0.1)
Search functions
lines.SmithWilsonYieldCurve
Plot generic for SmithWilsonYieldCurve objects
fCreateKernelMatrix
Create the matrix of kernel functions
fGetCashflowsLibor
Gets the cashflow schedule for a LIBOR agreement
points.SmithWilsonYieldCurve
Plot generic for SmithWilsonYieldCurve objects
fGetTimesLibor
Extract the payment date of a LIBOR agreement in years
fCreateCashflowMatrix
Returns the matrix of cashflows for the list of instruments
fWilson
Wilson function
fFitYieldCurve
Constructs the ZCB function based on the given market inputs and a specific kernel and base function
fGetCashflowsSwap
Gets the cashflow schedule for a swap
fCreateTimeVector
Extract a vector of cashflow times in years from a list of instruments
fFitSmithWilsonYieldCurve
Construct the Smith-Wilson yield curve
fFitKernelWeights
Solve for the vector xi of kernel weights
plot.SmithWilsonYieldCurve
Plot generic for SmithWilsonYieldCurve objects
SmithWilsonYieldCurve-package
Fit yield curves using the Smith-Wilson method
fGetTimesSwap
Extract the payment dates of a Swap agreement in years
fFitSmithWilsonYieldCurveToInstruments
Construct the Smith-Wilson yield curve