YieldCurve (version 5.1)

Srates: Interest rates of the Svensson's model.

Description

Returns the interest rates by Svensson's model.

Usage

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

Value

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

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.

Author

Sergio Salvino Guirreri

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 = first(ECBYieldCurve,'2 day')
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, last(rate.ECB,'1 day'),main="Fitting Svensson yield curve",
  xlab=c("Pillars in years"), ylab=c("Rates"),type="o")
lines(maturity.ECB, last(Svensson.rate,'1 day'), col=2)
legend("topleft",legend=c("observed yield curve","fitted yield curve"),
col=c(1,2),lty=1)
grid()