Srates: Interest rates of the Svensson's model.

In YieldCurve: Modelling and estimation of the yield curve

Description

Returns the interest rates by Svensson's model.

Usage

Srates(Coeff, maturity, whichRate = "Forward")

Arguments

Coeff	vector or matrix of the beta's coefficients and of λ_1 and λ_2.
maturity	maturity of the yield curve of which want to return the interest rates.
whichRate	which rate want to return: "Spot" or "Forward" rates.

Details

Coeff is a vector or matrix of the four coefficients of the Svensson's model, while lambdaValues is a vector or matrix of two lambda values of Svensson's model.

Value

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

Author(s)

Sergio Salvino Guirreri

References

Svensson, L.E. (1994), Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994, IMF Working Paper, WP/94/114.

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

Examples

data(ECBYieldCurve)
rate.ECB = first(ECBYieldCurve,'2 day')
maturity.ECB = c(0.25,0.5,seq(1,30,by=1))
SvenssonParameters <- Svensson(rate.ECB, maturity.ECB)
Svensson.rate <- Srates( SvenssonParameters ,maturity.ECB,"Spot")

plot(maturity.ECB, last(rate.ECB,'1 day'),main="Fitting Svensson yield curve",
  xlab=c("Pillars in years"), ylab=c("Rates"),type="o")
lines(maturity.ECB, last(Svensson.rate,'1 day'), col=2)
legend("topleft",legend=c("observed yield curve","fitted yield curve"),
col=c(1,2),lty=1)
grid()

Example output

Loading required package: xts
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

YieldCurve documentation built on May 2, 2019, 5:56 p.m.