Description Usage Arguments Details Value References See Also Examples
Calculate forward rates according to Nelson/Siegel(1987).
1 |
beta |
parameter vector {\bm{β}} = ≤ft(β_0,β_1,β_2,τ_1\right). |
m |
maturity or maturity vector. |
The forward rate for a maturity m is calculated using the following relation:
f(m,\bm{β}) = β_0+β_1\exp≤ft(-\frac{m}{τ_1}\right)+β_2≤ft[≤ft(\frac{m}{τ_1}\right)\exp≤ft(-\frac{m}{τ_1}\right)\right].
The function returns the calculated forward rate (vector).
Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4):473–489.
1 |
Warning messages:
1: In rgl.init(initValue, onlyNULL) : RGL: unable to open X11 display
2: 'rgl_init' failed, running with rgl.useNULL = TRUE
3: .onUnload failed in unloadNamespace() for 'rgl', details:
call: fun(...)
error: object 'rgl_quit' not found
[1] 0.04801208 0.04608768 0.04426910 0.04258121 0.04103638 0.03963821
[7] 0.03838430 0.03726827 0.03628136 0.03541341 0.03465373 0.03399159
[13] 0.03341658 0.03291888 0.03248935 0.03211963 0.03180216 0.03153013
[19] 0.03129750 0.03109894 0.03092973 0.03078575 0.03066342 0.03055962
[25] 0.03047166 0.03039719 0.03033423 0.03028104 0.03023615 0.03019830
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