spr_dl: Spot Rate Function according to the Diebold and Li Version of...

Description Usage Arguments Details Value References See Also Examples

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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