fwr_ns: Forward Rate Calculation according to Nelson/Siegel.

In changshun/termstrc: Zero-coupon Yield Curve Estimation

Description

Calculate forward rates according to Nelson/Siegel(1987).

Usage

fwr_ns(beta, m)

Arguments

beta	parameter vector {\bm{β}} = ≤ft(β_0,β_1,β_2,τ_1\right).
m	maturity or maturity vector.

Details

The forward rate for a maturity m is calculated using the following relation:

f(m,\bm{β}) = β_0+β_1\exp≤ft(-\frac{m}{τ_1}\right)+β_2≤ft[≤ft(\frac{m}{τ_1}\right)\exp≤ft(-\frac{m}{τ_1}\right)\right].

Value

The function returns the calculated forward rate (vector).

References

Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4):473–489.

See Also

fwr_sv,fwr_dl, forwardrates

Examples

fwr_ns(beta=c(0.03,0.02,0.01,5),1:30)

changshun/termstrc documentation built on May 13, 2019, 3:24 p.m.