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 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. |
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()
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