termstrc (version 1.3.7)

fwr_asv: Forward Rate Calculation according to an adjusted Svensson Version

Description

The function calculates the forward rates based on a given parameter and maturity vector.

Usage

fwr_asv(beta, m)

Arguments

beta

parameter vector ${\bm{\beta}} = \left(\beta_0,\beta_1,\beta_2,\tau_1,\beta_3,\tau_2\right)$.

m

maturity or vector of maturities.

Value

• Returns the a vector with the calculated forward rate (vector).

Details

The forward rate for a maturity $m$ is calculated according to the following formula:

$$f(m,\bm{\beta}) = \beta_0+\beta_1\exp\left(-\frac{m}{\tau_1}\right)+\beta_2\left[\left(\frac{m}{\tau_1}\right)\exp\left(-\frac{m}{\tau_1}\right)\right] +\beta_3\left[\exp\left(-\frac{m}{\tau_2}\right)+ \left(\frac{2m}{\tau_2}-1\right)\exp\left(-\frac{2m}{\tau_2}\right)\right].$$

References

Lars E.O. Svensson (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.

See Also

forwardrates

Examples

fwr_asv(c(0.03,0.02,0.01,5,0.01,10),1:30)