SmithWilsonYieldCurve: Smith-Wilson Yield Curve Construction

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

Author
Phil Joubert
Date of publication
2013-06-19 17:42:29
Maintainer
Phil Joubert <phil.joubert@not-normal-consulting.co.uk>
License
GPL-3
Version
1.0.1

View on CRAN

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

Files in this package

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