Spot Rate Function according to the Diebold and Li Version of the Nelson/Siegel Spot Rate Function

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Description

This function calculates the spot rates for certain maturity dates and a parameter vector according to Diebold/Li (2006).

Usage

1
spr_dl(beta, m, lambda)

Arguments

beta

a vector of parameters {\bm{β}} = ≤ft(β_0,β_1,β_2\right).

m

one maturity (or a vector of maturities).

lambda

=\frac{1}{τ_1}, a scalar

Details

The spot rate according to Diebold/Li for a maturity m is defined as:

s(m,\bm{β},λ) = β_0 + β_1\frac{1-\exp(-mλ)}{mλ} + β_2≤ft(\frac{1-\exp(-mλ)}{mλ} - \exp(-mλ)\right).

Value

Returns a vector consisting of the calculated spot rates.

References

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

See Also

codespr_ns

Examples

1
spr_dl(c(0.1,0.03,0.01),1:30,0.0609)

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