fWilson

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

fWilson function

<dl> <dt>t</dt>
<dd>a time</dd>
 <dt>u</dt>
<dd>another time</dd>
 <dt>ufr</dt>
<dd>the ultimate forward rate</dd>
 <dt>alpha</dt>
<dd>the spead of reversion to the ultimate
 forward rate</dd></dl>

Arguments

Wilson function — fWilson

<dl>

 <dt>t</dt>
<dd>a time</dd>


 <dt>u</dt>
<dd>another time</dd>


 <dt>ufr</dt>
<dd>the ultimate forward rate</dd>


 <dt>alpha</dt>
<dd>the spead of reversion to the ultimate
 forward rate</dd>

</dl>

fWilson: Wilson function

Description

Usage

Arguments