Construct the Smith-Wilson yield curve

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Description

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

Usage

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  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