Function for the calculation of bond prices according to the chosen approach
(Nelson and Siegel or Svensson) based on the cashflows and maturities of the bonds.
Usage
bond_prices(method = "Nelson/Siegel", beta, m, cf)
Arguments
method
defines the desired method, "Nelson/Siegel" for the Nelson/Siegel approach
or "Svensson" for the Svensson approach
beta
parameter vector, is linked to the chosen approach
m
maturities matrix, consists
of the maturity dates which are appended to the cashflows of the bonds
cf
cashflows matrix
Value
Returns a list with:
spot_ratesspot rates
discount_factorsdiscount factors
bond_pricesbond prices
References
David Bolder and David Streliski (1999): Yield Curve Modelling at the Bank of Canada.Technical Report No 84 Bank of Canada