forwardrates: Forward Rate Calculation
In changshun/termstrc: Zero-coupon Yield Curve Estimation
Description
Usage
Arguments
Value
See Also
Examples
Description
Calculates forward rates according to the Diebold/Li, Nelson/Siegel, Svensson approach.
Usage
1
forwardrates(method, beta, m, lambda)
Arguments
method
forward rate function type: "dl" for Diebold/Li, "ns" for Nelson/Siegel, "sv" for Svensson,"asv" for adjusted Svensson.
beta
parameter vector \bm{β}.
m
maturity or a vector of maturities.
lambda
=1/τ_1, a scalar; only required for Diebold/Li forward rate function
Value
The function returns a vector with the calculated forward rates.
See Also
Examples
1
forwardrates(method="ns",beta=c(0.03,0.02,0.01,5),m=1:30)
changshun/termstrc documentation built on May 13, 2019, 3:24 p.m.
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Description Usage Arguments Value See Also Examples
Description
Calculates forward rates according to the Diebold/Li, Nelson/Siegel, Svensson approach.
Usage
1 | forwardrates(method, beta, m, lambda)
|
Arguments
method |
forward rate function type: |
beta |
parameter vector \bm{β}. |
m |
maturity or a vector of maturities. |
lambda |
=1/τ_1, a scalar; only required for Diebold/Li forward rate function |
Value
The function returns a vector with the calculated forward rates.
See Also
Examples
1 | forwardrates(method="ns",beta=c(0.03,0.02,0.01,5),m=1:30)
|
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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