nelson_siegel {termstrc} | R Documentation |
This function calculates the spot rates for certain maturity dates and a parameter vector according to Nelson/Siegel.
nelson_siegel(beta, m)
beta |
a vector of parameters (β_0, β_1, β_2, tau_1) |
m |
one maturity (or a vector of maturities) |
returns a vector consisting of the calculated spot rates
Robert Ferstl, Josef Hayden
Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious modeling of yield curves. The Journal of Business, 60(4):473–489.
nelson_siegel(rep(0.01,4),1:30)