fFitSmithWilsonYieldCurveToInstruments

A set of market instruments as a
  dataframe with columns <ul>
<li>"Type"One of
  (LIBOR, SWAP)  </li>
<li>"Tenor"The instrument maturity in
  years </li>
<li>"Frequency"The payment frequency (ignored
  for Type=="LIBOR" ) </li>
<li>"Rate"The coupon rate per
  annum in percent </li>
</ul>


InstrumentSet

The Ultimate Forward Rate (UFR) of the
  Smith-Wilson kernel

The rate of reversion of forward rates to
  the UFR in the Smith-Wilson kernel

alpha


  Constructs the SmithWilson ZCB function based on the
  given market inputs and parameter choices. Primarily a
  convenience wrapper around other package functions


Constructs a yield curve by the Smith-Wilson method from a
table of LIBOR and SWAP rates

fFitSmithWilsonYieldCurveToInstruments: Construct the Smith-Wilson yield curve

Description

Usage

Arguments

Value