spr_dl: Spot Rate Function according to the Diebold and Li Version of the Nelson/Siegel Spot Rate Function
Description
This function calculates the spot rates for certain maturity dates and a parameter vector according to Diebold/Li (2006).
Usage
spr_dl(beta, m, lambda)
Arguments
beta
a vector of parameters ${\bm{\beta}} = \left(\beta_0,\beta_1,\beta_2\right)$.
m
one maturity (or a vector of maturities).
lambda
$=\frac{1}{\tau_1}$, a scalar
Value
Returns a vector consisting of the calculated spot rates.
Details
The spot rate according to Diebold/Li for a maturity $m$ is defined as:
$$s(m,\bm{\beta},\lambda) = \beta_0 + \beta_1\frac{1-\exp(-m\lambda)}{m\lambda} + \beta_2\left(\frac{1-\exp(-m\lambda)}{m\lambda} - \exp(-m\lambda)\right).$$
References
F.X. Diebold and C. Li: Forecasting the Term Structure of Government Bond Yields. Journal
of Econometrics, 130:337--364.