Description Usage Arguments Details Value References Examples
This function calculates the spot rates for certain maturity dates and a parameter vector according to an adjusted version of Svensson (1994).
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beta |
a vector of parameters \bm{β} = (β_0, β_1,β_2,τ_1, β_3, τ_2). |
m |
one maturity (or a vector of maturities). |
The adjusted Svensson spot rate function is defined as:
s(m,\bm{β}) = β_0 + β_1\frac{1-\exp(-\frac{m}{τ_1})}{\frac{m}{τ_1}} + β_2≤ft(\frac{1-\exp(-\frac{m}{τ_1})}{\frac{m}{τ_1}} - \exp(-\frac{m}{τ_1})\right) + β_3≤ft(\frac{1-\exp(-\frac{m}{τ_2})}{\frac{m}{τ_2}} - \exp(-\frac{2m}{τ_2})\right)
Returns a vector consisting of the calculated spot rates.
Lars E.O. Svensson (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.
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