fwr_asv: Forward Rate Calculation according to an adjusted Svensson...

In termstrc: Zero-coupon Yield Curve Estimation

Description

The function calculates the forward rates based on a given parameter and maturity vector.

Usage

fwr_asv(beta, m)

Arguments

beta	parameter vector {\bm{β}} = ≤ft(β_0,β_1,β_2,τ_1,β_3,τ_2\right).
m	maturity or vector of maturities.

Details

The forward rate for a maturity m is calculated according to the following formula:

f(m,\bm{β}) = β_0+β_1\exp≤ft(-\frac{m}{τ_1}\right)+β_2≤ft[≤ft(\frac{m}{τ_1}\right)\exp≤ft(-\frac{m}{τ_1}\right)\right] +β_3≤ft[\exp≤ft(-\frac{m}{τ_2}\right)+ ≤ft(\frac{2m}{τ_2}-1\right)\exp≤ft(-\frac{2m}{τ_2}\right)\right].

Value

Returns the a vector with the calculated forward rate (vector).

References

Lars E.O. Svensson (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.

See Also

forwardrates

Examples

fwr_asv(c(0.03,0.02,0.01,5,0.01,10),1:30)

termstrc documentation built on May 29, 2017, 1:05 p.m.