NSrates: Interest rates of the Nelson-Siegel's model.
In YieldCurve: Modelling and estimation of the yield curve

Description Usage Arguments Details Value Author(s) References Examples

Returns the interest rates by Nelson-Siegel's model.

1	NSrates(Coeff, maturity)

`Coeff`	Vector or matrix of the beta's coefficients and lambda as the function `Nelson.Siegel` returns.
`maturity`	maturity of the yield curve of which want to return the interest rates.

Coeff is a vector or matrix of the four coefficients of the Nelson-Siegel's model: (β_0; β_1; β_2; λ).

Return interest rates in matrix object with number of rows equal to nrow(betaCoeff) and number of columns equal to length(maturity).

Sergio Salvino Guirreri

Diebold, F.X. and Li, C. (2006), Forecasting the Term Structure of Government Bond Yields, Journal of Econometrics, 130, 337-364.

Diebold, F.X., Ji, L. and Li, C. (2006), A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration, in L.R. Klein (ed.), Long-Run Growth and Short-Run Stabilization: Essays in Memory of Albert Ando. Cheltenham, U.K.: Edward Elgar, 240-274.

Nelson, C.R., and A.F. Siegel (1987), Parsimonious Modeling of Yield Curve, The Journal of Business, 60, 473-489.

 
data(FedYieldCurve)
maturity.Fed <- c(3/12, 0.5, 1,2,3,5,7,10)
NSParameters <- Nelson.Siegel( rate = first(FedYieldCurve,'10 month'), maturity=maturity.Fed )
y <- NSrates(NSParameters[5,],maturity.Fed)
plot(maturity.Fed,FedYieldCurve[10,],main="Fitting Nelson-Siegel yield curve", type="o")
lines(maturity.Fed,y, col=2)
legend("topleft",legend=c("observed yield curve","fitted yield curve"),
col=c(1,2),lty=1)
grid()