SmithWilsonYieldCurve: Smith-Wilson Yield Curve Construction
Version 1.0.1

Constructs a yield curve by the Smith-Wilson method from a table of LIBOR and SWAP rates

Browse man pages Browse package API and functions Browse package files

AuthorPhil Joubert
Date of publication2013-06-19 17:42:29
MaintainerPhil Joubert <phil.joubert@not-normal-consulting.co.uk>
LicenseGPL-3
Version1.0.1
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("SmithWilsonYieldCurve")

Man pages

fCreateCashflowMatrix: Returns the matrix of cashflows for the list of instruments
fCreateKernelMatrix: Create the matrix of kernel functions
fCreateTimeVector: Extract a vector of cashflow times in years from a list of...
fFitKernelWeights: Solve for the vector xi of kernel weights
fFitSmithWilsonYieldCurve: Construct the Smith-Wilson yield curve
fFitSmithWilsonYieldCurveToInstruments: Construct the Smith-Wilson yield curve
fFitYieldCurve: Constructs the ZCB function based on the given market inputs...
fGetCashflowsLibor: Gets the cashflow schedule for a LIBOR agreement
fGetCashflowsSwap: Gets the cashflow schedule for a swap
fGetTimesLibor: Extract the payment date of a LIBOR agreement in years
fGetTimesSwap: Extract the payment dates of a Swap agreement in years
fWilson: Wilson function
lines.SmithWilsonYieldCurve: Plot generic for SmithWilsonYieldCurve objects
plot.SmithWilsonYieldCurve: Plot generic for SmithWilsonYieldCurve objects
points.SmithWilsonYieldCurve: Plot generic for SmithWilsonYieldCurve objects
SmithWilsonYieldCurve-package: Fit yield curves using the Smith-Wilson method

Functions

SmithWilsonYieldCurve Man page
SmithWilsonYieldCurve-package Man page
fCreateCashflowMatrix Man page Source code
fCreateKernelMatrix Man page Source code
fCreateTimeVector Man page Source code
fFitKernelWeights Man page Source code
fFitSmithWilsonYieldCurve Man page Source code
fFitSmithWilsonYieldCurveToInstruments Man page Source code
fFitYieldCurve Man page Source code
fGetCashflowsLibor Man page Source code
fGetCashflowsSwap Man page Source code
fGetTimesLibor Man page Source code
fGetTimesSwap Man page Source code
fWilson Man page Source code
lines.SmithWilsonYieldCurve Man page Source code
plot.SmithWilsonYieldCurve Man page Source code
points.SmithWilsonYieldCurve Man page Source code

Files

MD5
tests
tests/testall.R
man
man/points.SmithWilsonYieldCurve.Rd
man/plot.SmithWilsonYieldCurve.Rd
man/lines.SmithWilsonYieldCurve.Rd
man/fWilson.Rd
man/fGetTimesSwap.Rd
man/fGetTimesLibor.Rd
man/fGetCashflowsSwap.Rd
man/fGetCashflowsLibor.Rd
man/fFitYieldCurve.Rd
man/fFitSmithWilsonYieldCurveToInstruments.Rd
man/fFitSmithWilsonYieldCurve.Rd
man/fFitKernelWeights.Rd
man/fCreateTimeVector.Rd
man/fCreateKernelMatrix.Rd
man/fCreateCashflowMatrix.Rd
man/SmithWilsonYieldCurve-package.Rd
inst
inst/tests
inst/tests/test_replicate_EIOPA_QIS5_Examples.R
inst/tests/test_enhancement_14.R
inst/tests/test_defect_17.R
inst/tests/test_check_Identities.R
inst/tests/InstrumentSet2.csv
inst/tests/InstrumentSet1.csv
inst/figure
inst/figure/unnamed-chunk-5.png
inst/figure/unnamed-chunk-4.png
inst/figure/unnamed-chunk-2.png
inst/SmithWilsonMethod.md
inst/SmithWilsonMethod.html
inst/SmithWilsonMethod.Rmd
inst/InstrumentSet.csv
R
R/points.SmithWilsonYieldCurve.R
R/plot.SmithWilsonYieldCurve.R
R/lines.SmithWilsonYieldCurve.R
R/fWilson.R
R/fFitYieldCurve.R
R/fFitSmithWilsonYieldCurveToInstruments.R
R/fFitSmithWilsonYieldCurve.R
R/fFitKernelWeights.R
R/fCreateTimeVector.R
R/fCreateKernelMatrix.R
R/fCreateCashflowMatrix.R
R/Utilities.R
R/SmithWilsonYieldCurve.R
NAMESPACE
DESCRIPTION
SmithWilsonYieldCurve documentation built on May 19, 2017, 1:23 p.m.