# Srates: Interest rates of the Svensson's model. In YieldCurve: Modelling and Estimation of the Yield Curve

 Srates R Documentation

## Interest rates of the Svensson's model.

### Description

Returns the interest rates by Svensson's model.

### Usage

```Srates(Coeff, maturity, whichRate = "Forward")
```

### Arguments

 `Coeff` vector or matrix of the beta's coefficients and of λ_1 and λ_2. `maturity` maturity of the yield curve of which want to return the interest rates. `whichRate` which rate want to return: "Spot" or "Forward" rates.

### Details

`Coeff` is a vector or matrix of the four coefficients of the Svensson's model, while `lambdaValues` is a vector or matrix of two lambda values of Svensson's model.

### Value

Return interest rates in matrix object with number of rows equal to `nrow(Coeff)` and number of columns equal to `length(maturity)`.

### Author(s)

Sergio Salvino Guirreri

### References

Svensson, L.E. (1994), Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994, IMF Working Paper, WP/94/114.

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

### Examples

```data(ECBYieldCurve)
rate.ECB = first(ECBYieldCurve,'2 day')
maturity.ECB = c(0.25,0.5,seq(1,30,by=1))
SvenssonParameters <- Svensson(rate.ECB, maturity.ECB)
Svensson.rate <- Srates( SvenssonParameters ,maturity.ECB,"Spot")

plot(maturity.ECB, last(rate.ECB,'1 day'),main="Fitting Svensson yield curve",
xlab=c("Pillars in years"), ylab=c("Rates"),type="o")
lines(maturity.ECB, last(Svensson.rate,'1 day'), col=2)
legend("topleft",legend=c("observed yield curve","fitted yield curve"),
col=c(1,2),lty=1)
grid()
```

YieldCurve documentation built on Oct. 2, 2022, 5:08 p.m.