spr_ns: Spot Rate Function according to Nelson and Siegel

In changshun/termstrc: Zero-coupon Yield Curve Estimation

Description

This function calculates the spot rates for certain maturity dates and a parameter vector according to Nelson/Siegel (1987).

Usage

spr_ns(beta, m)

Arguments

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).

Details

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).

Value

Returns a vector consisting of the calculated spot rates.

References

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

Examples

spr_ns(rep(0.01,4),1:30)

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