A package to fit yield curves using the Smith-Wilson method
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.
Phil Joubert [email protected]
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