SmithWilsonYieldCurve: Smith-Wilson Yield Curve Construction

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

Install the latest version of this package by entering the following in R:
install.packages("SmithWilsonYieldCurve")
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

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

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