# TermStructure: Term Structure Modelling In fBonds: Rmetrics - Pricing and Evaluating Bonds

## Description

A collection and description of functions for term structure modelling.

The functions are:

 `NelsonSiegel` Nelson-Siegel Term Structure, `Svensson` Nelson-Siegel-Svensson Term Structure.

## Usage

 ```1 2``` ```NelsonSiegel(rate, maturity, doplot = TRUE) Svensson(rate, maturity, doplot = TRUE) ```

## Arguments

 `doplot` a logical. Should a plot be displayed? `maturity` a numeric vector of maturities on an annual scale. `rate` a numeric vector of forward rates.

## Value

a list object with entries returned from the optimization function `nlminb`.

## References

McCulloch J. H. (1990); US Term Structure Data: 1946-87, Handbook of Monetary Economics, Friedman B.M. and Hahn F.H. (eds.), Elsevier Science.

McCulloch J. H. and Kwon, H.C. (1993); US Term Structure Data: 1947-1991, Working Paper No. 93-6, Department of Economics, Ohio State University.

Zivot E., Wang J.; Modeling Financial Time Series with S-Plus.

## Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28``` ```Yield = c( 0.04984, 0.05283, 0.05549, 0.05777, 0.05961, 0.06102, 0.06216, 0.06314, 0.06403, 0.06488, 0.06568, 0.06644, 0.06717, 0.06786, 0.06852, 0.06913, 0.06969, 0.07020, 0.07134, 0.07205, 0.07339, 0.07500, 0.07710, 0.07860, 0.08011, 0.08114, 0.08194, 0.08274, 0.08355, 0.08434, 0.08512, 0.08588, 0.08662, 0.08731, 0.08794, 0.08851, 0.08900, 0.08939, 0.08967, 0.08980, 0.08976, 0.08954, 0.08910, 0.08843, 0.08748, 0.08626, 0.08474, 0.08291) Maturity = c( 0.083, 0.167, 0.250, 0.333, 0.417, 0.500, 0.583, 0.667, 0.750, 0.833, 0.917, 1.000, 1.083, 1.167, 1.250, 1.333, 1.417, 1.500, 1.750, 2.000, 2.500, 3.000, 4.000, 5.000, 6.000, 7.000, 8.000, 9.000, 10.000, 11.000, 12.000, 13.000, 14.000, 15.000, 16.000, 17.000, 18.000, 19.000, 20.000, 21.000, 22.000, 23.000, 24.000, 25.000, 26.000, 27.000, 28.000, 29.000) NelsonSiegel(Yield, Maturity) par(mfrow = c(2, 2)) Svensson(Yield, Maturity) ```

fBonds documentation built on May 1, 2019, 9:17 p.m.