spot_rate_factory: Create the Gurkaynak, Sack, and Wright spot rate function
In DavisVaughan/ratekit: A set of interest rate helpers
Description
Create the spot rate function y_t(n) using equation 22 of
Gurkaynak, Sack, and Wright (2006). The returned function is
parameterized by n, corresponding to the n-year continuously
compounded spot rates at any given date t.
Usage
1
spot_rate_factory(beta_0, beta_1, beta_2, beta_3, tau_1, tau_2)
DavisVaughan/ratekit documentation built on May 5, 2019, 8:14 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description
Create the spot rate function y_t(n) using equation 22 of
Gurkaynak, Sack, and Wright (2006). The returned function is
parameterized by n, corresponding to the n-year continuously
compounded spot rates at any given date t.
Usage
1 | spot_rate_factory(beta_0, beta_1, beta_2, beta_3, tau_1, tau_2)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.