Description Usage Arguments Details Value Author(s) References See Also Examples
Computes the factor loadings for Nelson–Siegel (NS) and Nelson–Siegel–Svensson (NSS) model for given lambda
values.
1 2 |
lambda |
the lambda parameter of the NS model (a scalar) |
lambda1 |
the lambda1 parameter of the NSS model (a scalar) |
lambda2 |
the lambda2 parameter of the NSS model (a scalar) |
tm |
a numeric vector with times-to-payment/maturity |
The function computes the factor loadings for given lambda parameters. Checking the correlation between these factor loadings can help to set reasonable lambda values for the NS/NSS models.
For NS, a matrix with length(tm)
rows and three columns.
For NSS, a matrix with length(tm)
rows and four columns.
Enrico Schumann
Gilli, M. and Grosse, S. and Schumann, E. (2010) Calibrating the Nelson-Siegel-Svensson model, COMISEF Working Paper Series No. 031. http://comisef.eu/files/wps031.pdf
Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626
Gilli, M. and Schumann, E. (2010) A Note on ‘Good’ Starting Values in Numerical Optimisation, COMISEF Working Paper Series No. 044. http://comisef.eu/files/wps044.pdf
Nelson, C.R. and Siegel, A.F. (1987) Parsimonious Modeling of Yield Curves. Journal of Business, 60(4), pp. 473–489.
Svensson, L.E. (1994) Estimating and Interpreting Forward Interest Rates: Sweden 1992–1994. IMF Working Paper 94/114.
1 2 3 4 5 6 |
[,1] [,2]
[1,] 1.0000000 -0.9747052
[2,] -0.9747052 1.0000000
[,1] [,2] [,3]
[1,] 1.0000000 0.9737563 -0.9957731
[2,] 0.9737563 1.0000000 -0.9635894
[3,] -0.9957731 -0.9635894 1.0000000
[,1] [,2] [,3]
[1,] 1.0000000 -0.8722823 -0.9992931
[2,] -0.8722823 1.0000000 0.8893071
[3,] -0.9992931 0.8893071 1.0000000
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.