svensson: Spot Rate Function according to Svensson
Description
This function calculates the spot-rates for certain maturity dates and a parameter vector
according to Svensson.
Usage
svensson(beta, m)
Arguments
beta
a vector of parameters $(\beta_0, \beta_1,\beta_2,\tau_1, \beta_3, \tau_2)$
m
one maturity (or a vector of maturities)
Value
returns a vector consisting of the calculated spot rates
References
Lars E.O. Svensson (1994):
Estimating and interpreting forward interest rates: Sweden 1992 -1994.
Technical Reports 4871, National Bureau of Economic Research.