fwr_dl: Forward Rate Calculation according to Diebold/Li.

In termstrc: Zero-coupon Yield Curve Estimation

Description

Calculate forward rates according to Diebold/Li(2006).

Usage

fwr_dl(beta, m, lambda)

Arguments

beta	parameter vector {\bm{β}} = ≤ft(β_0,β_1,β_2\right).
m	maturity or maturity vector.
lambda	=\frac{1}{τ_1}, a scalar

Details

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

f(m,\bm{β},λ) = β_0+β_1\exp≤ft(-mλ\right)+β_2≤ft[≤ft(mλ\right)\exp≤ft(-mλ\right)\right].

Value

The function returns the calculated forward rate (vector).

References

F.X. Diebold and C. Li: Forecasting the Term Structure of Government Bond Yields. Journal of Econometrics, 130:337–364.

See Also

fwr_sv,fwr_ns, forwardrates

Examples

fwr_dl(beta=c(0.03,0.02,0.01),1:30,lambda=1/5)

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