spr_asv: Adjusted Svensson Spot rate function

In termstrc: Zero-coupon Yield Curve Estimation

Description

This function calculates the spot rates for certain maturity dates and a parameter vector according to an adjusted version of Svensson (1994).

Usage

spr_asv(beta, m)

Arguments

beta	a vector of parameters \bm{β} = (β_0, β_1,β_2,τ_1, β_3, τ_2).
m	one maturity (or a vector of maturities).

Details

The adjusted Svensson spot rate function is defined as:

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

Value

Returns a vector consisting of the calculated spot rates.

References

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

Examples

 spr_asv(c(0.07,0.03,0.05,2,0.08,7),1:30)

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