spr_sv: Spot Rate Function according to Svensson

In termstrc: Zero-coupon Yield Curve Estimation

Description

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

Usage

spr_sv(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 spot rate according to Svensson for a maturity m is calculated using the following function:

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{m}{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_sv(c(0.07,0.3,0.05,2,0.08,7),1:30)

Example output

Warning messages:
1: In rgl.init(initValue, onlyNULL) : RGL: unable to open X11 display
2: 'rgl_init' failed, running with rgl.useNULL = TRUE 
3: .onUnload failed in unloadNamespace() for 'rgl', details:
  call: fun(...)
  error: object 'rgl_quit' not found 
 [1] 0.3203001 0.2823164 0.2530627 0.2303116 0.2124119 0.1981442 0.1866097
 [8] 0.1771456 0.1692628 0.1625989 0.1568849 0.1519198 0.1475524 0.1436686
[15] 0.1401811 0.1370229 0.1341419 0.1314972 0.1290564 0.1267934 0.1246871
[22] 0.1227200 0.1208777 0.1191481 0.1175207 0.1159866 0.1145381 0.1131684
[29] 0.1118714 0.1106420

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