NSrates | R Documentation |

Returns the interest rates by Nelson-Siegel's model.

NSrates(Coeff, maturity)

`Coeff` |
Vector or matrix of the beta's coefficients and lambda as the function |

`maturity` |
maturity of the yield curve of which want to return the interest rates. |

`Coeff`

is a vector or matrix of the four coefficients of the Nelson-Siegel's model: *(β_0; β_1; β_2; λ)*.

Return interest rates in matrix object with number of rows equal to `nrow(betaCoeff)`

and number of columns equal to `length(maturity)`

.

Sergio Salvino Guirreri

Diebold, F.X. and Li, C. (2006), Forecasting the Term Structure of Government Bond Yields, *Journal of Econometrics*, **130**, 337-364.

Diebold, F.X., Ji, L. and Li, C. (2006), A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration, in L.R. Klein (ed.), *Long-Run Growth and Short-Run Stabilization: Essays in Memory of Albert Ando*. Cheltenham, U.K.: Edward Elgar, 240-274.

Nelson, C.R., and A.F. Siegel (1987), Parsimonious Modeling of Yield Curve, *The Journal of Business*, **60**, 473-489.

data(FedYieldCurve) maturity.Fed <- c(3/12, 0.5, 1,2,3,5,7,10) NSParameters <- Nelson.Siegel( rate = first(FedYieldCurve,'10 month'), maturity=maturity.Fed ) y <- NSrates(NSParameters[5,],maturity.Fed) plot(maturity.Fed,FedYieldCurve[10,],main="Fitting Nelson-Siegel yield curve", type="o") lines(maturity.Fed,y, col=2) legend("topleft",legend=c("observed yield curve","fitted yield curve"), col=c(1,2),lty=1) grid()

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