Description Usage Arguments Details Value References See Also Examples
This function calculates the spot rates for certain maturity dates and a parameter vector according to Diebold/Li (2006).
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beta |
a vector of parameters {\bm{β}} = ≤ft(β_0,β_1,β_2\right). |
m |
one maturity (or a vector of maturities). |
lambda |
=\frac{1}{τ_1}, a scalar |
The spot rate according to Diebold/Li for a maturity m is defined as:
s(m,\bm{β},λ) = β_0 + β_1\frac{1-\exp(-mλ)}{mλ} + β_2≤ft(\frac{1-\exp(-mλ)}{mλ} - \exp(-mλ)\right).
Returns a vector consisting of the calculated spot rates.
F.X. Diebold and C. Li: Forecasting the Term Structure of Government Bond Yields. Journal of Econometrics, 130:337–364.
codespr_ns
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