fFitSmithWilsonYieldCurveToInstruments: Construct the Smith-Wilson yield curve

View source: R/fFitSmithWilsonYieldCurveToInstruments.R

fFitSmithWilsonYieldCurveToInstrumentsR Documentation

Construct the Smith-Wilson yield curve

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, BOND)

  • "Tenor" The instrument maturity in years

  • "Frequency" The payment frequency (ignored for Type=="LIBOR" )

  • "Rate" The coupon rate per annum in percent

  • "Price"The price per unit nominal for a bond

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.