Nelson.Siegel | R Documentation |
Returns the estimated coefficients of the Nelson-Siegel's model.
Nelson.Siegel( rate, maturity )
rate |
vector or matrix which contains the interest rates. |
maturity |
vector which contains the maturity ( in months) of the |
The Nelson-Siegel's model to describe the yield curve is:
y_t(τ) = β_{0t} + β_{1t} \frac{1-\exp(-λ τ)}{λ τ} + β_{2t} ≤ft(\frac{1-\exp(-λ τ)}{λ τ} - \exp(-λ τ) \right)
Returns a data frame with the estimated coefficients: β_{0t}, β_{1t}, β_{2t}, and λ.
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.
NelsonSiegel, Svensson
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[5,],main="Fitting Nelson-Siegel yield curve", xlab=c("Pillars in months"), 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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