SmithWilsonYieldCurve (version 1.0.1)

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

Description

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

Usage

fFitYieldCurve(TimesVector, CashflowMatrix, MarketValueVector, fKernel, fBase)

Arguments

TimesVector

A vector of all cashflow times

CashflowMatrix

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

MarketValueVector

A vector of market values of the insturments

fKernel

a function of two times used as the Kernel "basis" function

fBase

a function giving the base level of the curve

Value

a list comprising elements: a function of time which gives the ZCB price to that time