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. 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:

  • "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