Description Usage Arguments Details Value References Examples
This function calculates the spot rates for certain maturity dates and a parameter vector according to Nelson/Siegel (1987).
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beta |
a vector of parameters {\bm{β}} = ≤ft(β_0,β_1,β_2,τ_1\right). |
m |
one maturity (or a vector of maturities). |
The spot rate according to Nelson/Siegel for a maturity m is defined as:
s(m,\bm{β}) = β_0 + β_1\frac{1-\exp(-\frac{m}{τ_1})}{\frac{m}{τ_1}} + β_2≤ft(\frac{1-\exp(-\frac{m}{τ_1})}{\frac{m}{τ_1}} - \exp(-\frac{m}{τ_1})\right).
Returns a vector consisting of the calculated spot rates.
Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4):473–489.
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