spr_sv: Spot Rate Function according to Svensson
In changshun/termstrc: Zero-coupon Yield Curve Estimation

Description Usage Arguments Details Value References Examples

This function calculates the spot rates for certain maturity dates and a parameter vector according to Svensson (1994).

1	spr_sv(beta, m)

`beta`	a vector of parameters \bm{β} = (β_0, β_1,β_2,τ_1, β_3, τ_2).
`m`	one maturity (or a vector of maturities).

The spot rate according to Svensson for a maturity m is calculated using the following function:

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) + β_3≤ft(\frac{1-\exp(-\frac{m}{τ_2})}{\frac{m}{τ_2}} - \exp(-\frac{m}{τ_2})\right)

Returns a vector consisting of the calculated spot rates.

Lars E.O. Svensson (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.