YieldCurve (version 4.0)

Srates: Interest rates of the Svensson's model.

Description

Returns the interest rates by Svensson's model.

Usage

Srates(Coeff, maturity, whichRate = "Forward")

Arguments

Coeff

vector or matrix of the beta's coefficients and of $\lambda_1$ and $\lambda_2$.

maturity

maturity of the yield curve of which want to return the interest rates.

whichRate

which rate want to return: "Spot" or "Forward" rates.

Value

• Return interest rates in matrix object with number of rows equal to nrow(Coeff) and number of columns equal to length(maturity).

Details

Coeff is a vector or matrix of the four coefficients of the Svensson's model, while lambdaValues is a vector or matrix of two lambda values of Svensson's model.

References

Svensson, L.E. (1994), Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994, IMF Working Paper, WP/94/114.

Nelson, C.R., and A.F. Siegel (1987), Parsimonious Modeling of Yield Curve, The Journal of Business, 60, 473-489.

Examples

data(ECBYieldCurve)
rate.ECB = ECBYieldCurve[1:5,]
maturity.ECB = c(0.25,0.5,seq(1,30,by=1))
SvenssonParameters <- Svensson(rate.ECB, maturity.ECB)
Svensson.rate <- Srates( SvenssonParameters ,maturity.ECB,"Spot")

plot(maturity.ECB, rate.ECB[5,],main="Fitting Svensson yield curve", type="o")
lines(maturity.ECB, Svensson.rate[5,], col=2)
legend("topleft",legend=c("observed yield curve","fitted yield curve"),
col=c(1,2),lty=1)
grid()