fit_parameters: Get Nelson-Siegel Factors
In Houstonwp/AIRG: An R replication of the Academy's Interest Rate Generator
Description
Usage
Arguments
Value
Examples
View source: R/nelson-siegel.R
Description
The AIRG assumes a short rate maturity of one year and a long rate maturity of twenty years.
Usage
1
fit_parameters(b, A)
Arguments
short_rate
The one year interest rate.
long_rate
The twenty year interest rate.
Value
b_0 and b_1 factors are calculated by solving A*x=b for x.
Examples
1
get_factors(0.0263,0.0287)
Houstonwp/AIRG documentation built on Jan. 12, 2020, 8:10 p.m.
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Description Usage Arguments Value Examples
View source: R/nelson-siegel.R
Description
The AIRG assumes a short rate maturity of one year and a long rate maturity of twenty years.
Usage
1 | fit_parameters(b, A)
|
Arguments
short_rate |
The one year interest rate. |
long_rate |
The twenty year interest rate. |
Value
b_0 and b_1 factors are calculated by solving A*x=b for x.
Examples
1 | get_factors(0.0263,0.0287)
|
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.
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