fFitSmithWilsonYieldCurve: Construct the Smith-Wilson yield curve

In SmithWilsonYieldCurve: Smith-Wilson Yield Curve Construction

Construct the Smith-Wilson yield curve

Description

Constructs the SmithWilson ZCB function based on the given market inputs and parameter choices

Usage

fFitSmithWilsonYieldCurve(
  TimesVector,
  CashflowMatrix,
  MarketValueVector,
  ufr,
  alpha
)

Arguments

TimesVector	A vector of all cashflow times
CashflowMatrix	A matrix of all cashflows, instruments in rows, times in columns
MarketValueVector	A vector of market values of the insturments
ufr	The Ultimate Forward Rate (UFR) of the Smith-Wilson kernel
alpha	The rate of reversion of forward rates to the UFR in the Smith-Wilson kernel

Value

a list containing:

• "P" a function of time which gives the ZCB price to that term

• "xi" the vector of weights applied to the kernel functions to obtain the ZCB price

• "K" the (compound) kernel vector

SmithWilsonYieldCurve documentation built on Sept. 12, 2024, 7:36 a.m.