TermStructure {fBonds} | R Documentation |
A collection and description of functions
for term structure modelling.
The functions are:
NelsonSiegel | Nelson-Siegel Term Structure, |
Svensson | Nelson-Siegel-Svensson Term Structure. |
NelsonSiegel(rate, maturity, doplot = TRUE) Svensson(rate, maturity, doplot = TRUE)
doplot |
a logical. Should a plot be displayed? |
maturity |
a numeric vector of maturities on an annual scale. |
rate |
a numeric vector of forward rates. |
a list object with entries returned from the optimization function
nlminb
.
McCulloch J. H. (1990); US Term Structure Data: 1946-87, Handbook of Monetary Economics, Friedman B.M. and Hahn F.H. (eds.), Elsevier Science.
McCulloch J. H. and Kwon, H.C. (1993); US Term Structure Data: 1947-1991, Working Paper No. 93-6, Department of Economics, Ohio State University.
Zivot E., Wang J.; Modeling Financial Time Series with S-Plus.