fFitYieldCurve

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

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

fFitYieldCurve function

<dl> <dt>TimesVector</dt>
<dd>A vector of all cashflow times</dd>
 <dt>CashflowMatrix</dt>
<dd>A matrix of all cashflows,
 instruments in rows, times in columns</dd>
 <dt>MarketValueVector</dt>
<dd>A vector of market values of the
 insturments</dd>
 <dt>fKernel</dt>
<dd>a function of two times used as the Kernel
 "basis" function</dd>
 <dt>fBase</dt>
<dd>a function giving the base level of the
 curve</dd></dl>

Arguments

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

<dl>

 <dt>TimesVector</dt>
<dd>A vector of all cashflow times</dd>


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


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


 <dt>fKernel</dt>
<dd>a function of two times used as the Kernel
 "basis" function</dd>


 <dt>fBase</dt>
<dd>a function giving the base level of the
 curve</dd>

</dl>

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

Description

Usage

Value

Arguments