R/NSrates.R

In YieldCurve: Modelling and Estimation of the Yield Curve

`NSrates` <- function ( Coeff, maturity )
  {
    Curve <- xts(matrix( 0, nrow(Coeff), length(maturity) ), order.by=time(Coeff))
    colnames(Curve) <- make.names(maturity)
    Coeff <- as.matrix( Coeff )
    
    for(i in 1:nrow(Curve))
      {
        Curve[i,] <- as.numeric(Coeff[i,1]) * rep(1, length(maturity)) +
          as.numeric(Coeff[i,2]) * as.numeric(.factorBeta1(Coeff[i,4], maturity) ) +
          as.numeric(Coeff[i,3]) * as.numeric(.factorBeta2(Coeff[i,4], maturity ))
      }
    return( Curve )
  }