fCreateKernelMatrix

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

Constructs a yield curve by the Smith-Wilson method from a table of
libor and swap rates. Now updated to take bond coupons and prices
in the same table.

Phil Joubert

SmithWilsonYieldCurve

Smith-Wilson Yield Curve Construction

fCreateKernelMatrix function

<dl> <dt>times</dt>
<dd>a vector of cashflow times</dd>
 <dt>fKernel</dt>
<dd>a kernel to apply (a function of times x
 times returning a matrix )</dd></dl>

Arguments

Create the matrix of kernel functions — fCreateKernelMatrix

<dl>

 <dt>times</dt>
<dd>a vector of cashflow times</dd>


 <dt>fKernel</dt>
<dd>a kernel to apply (a function of times x
 times returning a matrix )</dd>

</dl>

fCreateKernelMatrix: Create the matrix of kernel functions

Description

Usage

Arguments