fFitYieldCurve: Constructs the ZCB function based on the given market inputs...

In SmithWilsonYieldCurve: Smith-Wilson Yield Curve Construction

Constructs the ZCB function based on the given market inputs and a specific kernel and base function

Description

Constructs the ZCB function based on the given market inputs and a specific kernel and base function

Usage

  fFitYieldCurve(TimesVector, CashflowMatrix,
    MarketValueVector, fKernel, fBase)

Arguments

TimesVector	A vector of all cashflow times
CashflowMatrix	A matrix of all cashflows, instruments in rows, times in columns
MarketValueVector	A vector of market values of the insturments
fKernel	a function of two times used as the Kernel "basis" function
fBase	a function giving the base level of the curve

Value

a list comprising elements: a function of time which gives the ZCB price to that time

SmithWilsonYieldCurve documentation built on Sept. 12, 2024, 7:36 a.m.