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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

Install

install.packages('SmithWilsonYieldCurve')

Monthly Downloads

151

Version

1.0.1

License

GPL-3

Maintainer

Phil Joubert

Last Published

June 19th, 2013

Functions in SmithWilsonYieldCurve (1.0.1)

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