SmithWilsonYieldCurve (version 1.0.1)

fFitKernelWeights: Solve for the vector xi of kernel weights

Description

Solve for the vector xi of kernel weights

Usage

fFitKernelWeights(CashflowMatrix, KernelFunctionMatrix, MarketValueVector, BaseZeroVector)

Arguments

CashflowMatrix

A matrix of all cashflows, instruments in rows, times in columns

KernelFunctionMatrix

A matrix of kernel function values

MarketValueVector

A vector of market values of the insturments

BaseZeroVector

A vector of "base" values for the zeros