fFitSmithWilsonYieldCurveToInstruments

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. Now updated to take bond coupons and prices
in the same table.

Phil Joubert

SmithWilsonYieldCurve

Smith-Wilson Yield Curve Construction

fFitSmithWilsonYieldCurveToInstruments function

<dl><dt>InstrumentSet</dt>
<dd>A set of market instruments as a dataframe with columns<ul>
<li>"Type" One of (LIBOR, SWAP, BOND)</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>
<li>"Price"The price per unit nominal for a bond</li>
</ul></dd>
<dt>ufr</dt>
<dd>The Ultimate Forward Rate (UFR) of the Smith-Wilson kernel</dd>
<dt>alpha</dt>
<dd>The rate of reversion of forward rates to the UFR in the Smith-Wilson kernel</dd></dl>

Arguments

Construct the Smith-Wilson yield curve — fFitSmithWilsonYieldCurveToInstruments

<dl>

<dt>InstrumentSet</dt>
<dd>A set of market instruments as a dataframe with columns<ul>
<li>"Type" One of (LIBOR, SWAP, BOND)</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>
<li>"Price"The price per unit nominal for a bond</li>
</ul></dd>


<dt>ufr</dt>
<dd>The Ultimate Forward Rate (UFR) of the Smith-Wilson kernel</dd>


<dt>alpha</dt>
<dd>The rate of reversion of forward rates to the UFR in the Smith-Wilson kernel</dd>

</dl>

fFitSmithWilsonYieldCurveToInstruments: Construct the Smith-Wilson yield curve

Description

Usage

Value

Arguments