gi: Cubic Functions

Description

Calculation of the cubic functions according to the approach of McCulloch (1975).

Usage

1
gi(t, T, i, s)

Arguments

t

maturity.

T

knot points.

i

index.

s

number of basis functions.

References

J. Huston McCulloch (1975): The Tax-Adjusted Yield Curve. The Journal of Finance, 30 811–830.


Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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