termstrc (version 1.3.7)

spr_asv: Adjusted Svensson Spot rate function

Description

This function calculates the spot rates for certain maturity dates and a parameter vector according to an adjusted version of Svensson (1994).

Usage

spr_asv(beta, m)

Arguments

beta

a vector of parameters $\bm{\beta} = (\beta_0, \beta_1,\beta_2,\tau_1, \beta_3, \tau_2)$.

m

one maturity (or a vector of maturities).

Value

• Returns a vector consisting of the calculated spot rates.

Details

The adjusted Svensson spot rate function is defined as:

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

References

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

Examples

spr_asv(c(0.07,0.03,0.05,2,0.08,7),1:30)