SmithWilsonYieldCurve (version 1.0.1)

fCreateKernelMatrix: Create the matrix of kernel functions

Description

Creates a J x J matrix [ w(u_i,u_j) ] where J is the number of cashflow times in the calibration set

Usage

fCreateKernelMatrix(times, fKernel)

Arguments

times

a vector of cashflow times

fKernel

a kernel to apply (a function of times x times returning a matrix )