Maturities: Create a vector of numerical maturities in years

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Create a vector of numerical maturities in years

Description

Create a vector of numerical maturities in years

Usage

Maturities(DataYields, Economies, UnitYields)

Arguments

DataYields	matrix containing all yields of the system (JxT,if the model is single-country-based or CJxT if the model is multy-country-based)
Economies	vector containing names of all the economies of the system
UnitYields	(i) "Month": if maturity of yields are expressed in months or (ii) "Year": if maturity of yields are expressed in years

Value

Vector containing all observed maturities expressed in years

MultiATSM documentation built on April 4, 2025, 1:40 a.m.