SmithWilsonYieldCurve: Smith-Wilson Yield Curve Construction

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

AuthorPhil Joubert
Date of publication2013-06-19 17:42:29
MaintainerPhil Joubert <phil.joubert@not-normal-consulting.co.uk>
LicenseGPL-3
Version1.0.1

View on CRAN

Functions

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

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.