yc_svensson: Fit Svensson Yield Curve

In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

Fit Svensson Yield Curve

Description

Estimate a Svensson (1994) yield curve model from observed maturity-rate pairs. Extends Nelson-Siegel by adding a second curvature term with its own decay parameter, providing greater flexibility for curves with two humps.

Usage

yc_svensson(
  maturities,
  rates,
  tau1_init = 1,
  tau2_init = 5,
  weights = NULL,
  type = c("zero", "par", "forward"),
  date = NULL
)

Arguments

maturities	Numeric vector of maturities in years.
rates	Numeric vector of observed yields as decimals.
tau1_init	Numeric. Initial value for the first decay parameter. Default is 1.
tau2_init	Numeric. Initial value for the second decay parameter. Default is 5.
weights	Optional numeric vector of weights for each observation. Must be the same length as maturities. If NULL (default), all observations are equally weighted.
type	Character. Rate type: "zero" (default), "par", or "forward".
date	Optional Date for the curve.

Value

A yc_curve object with method = "svensson" and params containing beta0, beta1, beta2, beta3, tau1, and tau2.

References

Svensson, L.E.O. (1994). Estimating and Interpreting Forward Interest Rates: Sweden 1992–1994. NBER Working Paper, 4871. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.3386/w4871")}

Examples

maturities <- c(0.25, 0.5, 1, 2, 3, 5, 7, 10, 20, 30)
rates <- c(0.052, 0.050, 0.048, 0.045, 0.043, 0.042, 0.041,
           0.040, 0.042, 0.043)
fit <- yc_svensson(maturities, rates)
fit

yieldcurves documentation built on March 26, 2026, 5:06 p.m.