fFitSmithWilsonYieldCurveToInstruments: Construct the Smith-Wilson yield curve

Description Usage Arguments Value

View source: R/fFitSmithWilsonYieldCurveToInstruments.R

Description

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

Usage

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  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:


SmithWilsonYieldCurve documentation built on May 29, 2017, 3:36 p.m.

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