View source: R/fFitSmithWilsonYieldCurveToInstruments.R
fFitSmithWilsonYieldCurveToInstruments | R Documentation |
Constructs the SmithWilson ZCB function based on the given market inputs and parameter choices. Primarily a convenience wrapper around other package functions
fFitSmithWilsonYieldCurveToInstruments(InstrumentSet, ufr, alpha)
InstrumentSet |
A set of market instruments as a dataframe with columns
|
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 |
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
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