TermStructure: The TermStructure constructor function it is a wrapper...

In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities

Description

This is a wrapper function around the R package termstrc. The function passes swap rate data cash flows the to termstrc and creates the TermStructure object used by Bondlab. The function call rates data processes the yield curve and derives cashflow for the daily close swap curve. A Rates object must be called in the local environment for this function to work.

Usage

TermStructure(rates.data, method = "dl")

Arguments

rates.data	A character string representing the data for which the user would like to call the swap curve
method	A character string indicating the fitting method ns = Nelson Siegel, dl = Diebold Lee, sv = Severson, asv = adjusted Severson, cs = cubic spline(not yet implemented). For addiition details see the termstrc documentation.

Examples

## Not run: 
TermStructure(rates.data = "01-10-2013", method = "ns")
## End(Not run)

glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.