SmithWilsonYieldCurve (version 1.1.1)

Smith-Wilson Yield Curve Construction

Description

Constructs a yield curve by the Smith-Wilson method from a table of libor and swap rates. Now updated to take bond coupons and prices in the same table.

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Version

Install

install.packages('SmithWilsonYieldCurve')

Monthly Downloads

133

Version

1.1.1

License

GPL-3

Maintainer

Phil Joubert

Last Published

July 12th, 2024

Functions in SmithWilsonYieldCurve (1.1.1)

fFitSmithWilsonYieldCurve

Construct the Smith-Wilson yield curve

fCreateTimeVector

Extract a vector of cashflow times in years from a list of instruments

fCreateCashflowMatrix

Returns the matrix of cashflows for the list of instruments

SmithWilsonYieldCurve-package

Fit yield curves using the Smith-Wilson method

fGetCashflowsBond

Gets the cashflow schedule for a bond

fCreateKernelMatrix

Create the matrix of kernel functions

fFitKernelWeights

Solve for the vector xi of kernel weights

fGetCashflowsLibor

Gets the cashflow schedule for a LIBOR agreement

fFitYieldCurve

Constructs the ZCB function based on the given market inputs and a specific kernel and base function

fFitSmithWilsonYieldCurveToInstruments

Construct the Smith-Wilson yield curve

fGetTimesLibor

Extract the payment date of a LIBOR agreement in years

plot.SmithWilsonYieldCurve

Plot generic for SmithWilsonYieldCurve objects

fGetCashflowsSwap

Gets the cashflow schedule for a swap

fGetTimesSwap

Extract the payment dates of a Swap agreement in years

fGetTimesBond

Extract the payment dates of a Bond in years

fWilson

Wilson function

lines.SmithWilsonYieldCurve

Plot generic for SmithWilsonYieldCurve objects

points.SmithWilsonYieldCurve

Plot generic for SmithWilsonYieldCurve objects