create_maturities_matrix

name of the group of bonds (default: <command>FALSE).

group

if <command>TRUE the dirty price is included.

include_price

Creates a matrix of maturities for a specified group of bonds. The number of rows is the number of cashflows for the bond with the longest maturity.

Zero-coupon yield curves and spread curves are important
        inputs for various financial models, e.g. pricing of
        securities, risk management, monetary policy issues. Since
        zero-coupon rates are rarely directly observable, they have to
        be estimated from market data. The literature broadly
        distinguishes between parametric and spline-based estimation
        methods for the zero-coupon yield curve. Our package consists
        of several widely-used approaches, i.e. the parametric Nelson
        and Siegel (1987) method with the Svensson (1994) extension,
        and the McCulloch (1975) cubic splines approach. Extensive
        summary statistics and plots are provided to compare the
        results of the different estimation methods.

create_maturities_matrix: Maturity Matrix Creation

Description

Usage

Arguments

Value

See Also