TermStructure: Term Structure Modelling
Description
A collection and description of functions
for term structure modelling.
The functions are:
ll{
NelsonSiegel Nelson-Siegel Term Structure,
Svensson Nelson-Siegel-Svensson Term Structure. }Usage
NelsonSiegel(rate, maturity, doplot = TRUE)
Svensson(rate, maturity, doplot = TRUE)
Arguments
doplot
a logical. Should a plot be displayed?
maturity
a numeric vector of maturities on an annual scale.
rate
a numeric vector of forward rates.
Value
- a list object with entries returned from the optimization function
nlminb.
References
McCulloch J. H. (1990);
US Term Structure Data: 1946-87,
Handbook of Monetary Economics, Friedman B.M. and Hahn F.H. (eds.),
Elsevier Science.
McCulloch J. H. and Kwon, H.C. (1993);
US Term Structure Data: 1947-1991,
Working Paper No. 93-6, Department of Economics,
Ohio State University.
Zivot E., Wang J.;
Modeling Financial Time Series with S-Plus.