Calculation of the cubic functions according to an approach of
McCulloch (1975)
Usage
gi(t, T, i, s)
Arguments
t
maturity
T
knot points
i
index
s
number of basis functions
References
J. Huston McCulloch (1971):
Measuring the Term Structure of Interest Rates.
The Journal of Business, 44 19--31.
J. Huston McCulloch (1975):
The Tax-Adjusted Yield Curve.
The Journal of Finance, 30 811--830.
Sanjay K. Nawalkha and Gloria M. Soto and Natalia K. Beliaeva (2005):
Interest Rate Risk Modeling : The Fixed Income Valuation Course
Wiley Finance,60--67