Nelson.Siegel: Estimation of the Nelson-Siegel parameters

Description Usage Arguments Details Value Author(s) References See Also Examples

Description

Returns the estimated coefficients of the Nelson-Siegel's model.

Usage

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Nelson.Siegel( rate, maturity )

Arguments

rate

vector or matrix which contains the interest rates.

maturity

vector wich contains the maturity ( in months) of the rate. The vector's length must be the same of the number of columns of the rate.

Details

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)

Value

Returns a data frame with the estimated coefficients: β_{0t}, β_{1t}, β_{2t}, and λ.

Author(s)

Sergio Salvino Guirreri

References

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.

See Also

NelsonSiegel, Svensson

Examples

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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()

Example output

Loading required package: xts
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

YieldCurve documentation built on May 30, 2017, 1:13 a.m.