fFitKernelWeights

Solve for the vector xi of kernel weights

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

fFitKernelWeights function

<dl> <dt>CashflowMatrix</dt>
<dd>A matrix of all cashflows,
 instruments in rows, times in columns</dd>
 <dt>KernelFunctionMatrix</dt>
<dd>A matrix of kernel function
 values</dd>
 <dt>MarketValueVector</dt>
<dd>A vector of market values of the
 insturments</dd>
 <dt>BaseZeroVector</dt>
<dd>A vector of "base" values for the
 zeros</dd></dl>

Arguments

Solve for the vector xi of kernel weights — fFitKernelWeights

<dl>

 <dt>CashflowMatrix</dt>
<dd>A matrix of all cashflows,
 instruments in rows, times in columns</dd>


 <dt>KernelFunctionMatrix</dt>
<dd>A matrix of kernel function
 values</dd>


 <dt>MarketValueVector</dt>
<dd>A vector of market values of the
 insturments</dd>


 <dt>BaseZeroVector</dt>
<dd>A vector of "base" values for the
 zeros</dd>

</dl>

fFitKernelWeights: Solve for the vector xi of kernel weights

Description

Usage

Arguments