Description Usage Arguments Value See Also Examples
Calculates forward rates according to the Diebold/Li, Nelson/Siegel, Svensson approach.
1 | forwardrates(method, beta, m, lambda)
|
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 |
The function returns a vector with the calculated forward rates.
1 | forwardrates(method="ns",beta=c(0.03,0.02,0.01,5),m=1:30)
|
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