fFitSmithWilsonYieldCurveToInstruments: Construct the Smith-Wilson yield curve

In SmithWilsonYieldCurve: Smith-Wilson Yield Curve Construction

Description

Constructs the SmithWilson ZCB function based on the given market inputs and parameter choices. Primarily a convenience wrapper around other package functions

Usage

  fFitSmithWilsonYieldCurveToInstruments(InstrumentSet,
    ufr, alpha)

Arguments

InstrumentSet	A set of market instruments as a dataframe with columns "Type"One of (LIBOR, SWAP) "Tenor"The instrument maturity in years "Frequency"The payment frequency (ignored for Type=="LIBOR" ) "Rate"The coupon rate per annum in percent
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 May 2, 2019, 2:16 a.m.