Learn R Programming
SmithWilsonYieldCurve (version 1.1.1)

fFitSmithWilsonYieldCurve: Construct the Smith-Wilson yield curve

Description

Constructs the SmithWilson ZCB function based on the given market inputs and parameter choices

Usage

fFitSmithWilsonYieldCurve(
  TimesVector,
  CashflowMatrix,
  MarketValueVector,
  ufr,
  alpha
)

Value

a list containing:

  • "P" a function of time which gives the ZCB price to that term

  • "xi" the vector of weights applied to the kernel functions to obtain the ZCB price

  • "K" the (compound) kernel vector

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

ufr

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

alpha

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