termstrc (version 1.0)

nelson_siegel: Spot Rate Function according to Nelson/Siegel

Description

This function calculates the spot rates for certain maturity dates and a parameter vector according to Nelson/Siegel.

Usage

nelson_siegel(beta, m)

Arguments

beta

a vector of parameters $(\beta_0, \beta_1, \beta_2, \tau_1)$

m

one maturity (or a vector of maturities)

Value

• returns a vector consisting of the calculated spot rates

References

Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious modeling of yield curves. The Journal of Business, 60(4):473--489.

Examples

nelson_siegel(rep(0.01,4),1:30)