Srates | R Documentation |

Returns the interest rates by Svensson's model.

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

`Coeff` |
vector or matrix of the beta's coefficients and of |

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

`whichRate` |
which rate want to return: "Spot" or "Forward" rates. |

`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.

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

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

.

Sergio Salvino Guirreri

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.

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()

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.