SmithWilsonYieldCurve-package: Fit yield curves using the Smith-Wilson method

In SmithWilsonYieldCurve: Smith-Wilson Yield Curve Construction

Description

A package to fit yield curves using the Smith-Wilson method

Details

The main function exposed in this package is fFitSmithWilsonYieldCurve, which takes market data in the form of a vector of cashflow times, a matrix of cashflows and a vector of market prices. It returns an object of class "SmithWilsonYieldCurve".

A convenience function fFitSmithWilsonYieldCurveToInstruments takes a dataframe containing market instrument data as type, tenor, frequency and rate. It extracts the required vectors and matrices and then calls fFitSmithWilsonYieldCurve.

Objects of class SmithWilsonYieldCurve are a list, the first element of which is a function P(t), which returns the zero coupon bond price of the fitted curve at time t.

Details including mathematics at http://www.not-normal-consulting.co.uk, or check the EIOPA document in references.

Author(s)

Phil Joubert [e-mail]

References

http://eiopa.europa.eu/fileadmin/tx_dam/files/consultations/QIS/QIS5/ceiops-paper-extrapolation-risk-free-rates_en-20100802.pdf

Examples

dfInstruments <- data.frame(c("SWAP", "SWAP"), c(1,10), c(1,1), c(0.025, 0.05))
	colnames( dfInstruments ) <- c( "Type", "Tenor", "Frequency", "Rate" )
	Curve <- fFitSmithWilsonYieldCurveToInstruments( dfInstruments, 0.04, 0.1 )
	plot( Curve )

Example output

SmithWilsonYieldCurve documentation built on May 2, 2019, 2:16 a.m.