svensson {termstrc}R Documentation

Spot Rate Function according to Svensson

Description

This function calculates the spot-rates for certain maturity dates and a parameter vector according to Svensson.

Usage

svensson(beta, m)

Arguments

beta a vector of parameters (β_0, β_1,β_2,tau_1, β_3, tau_2)
m one maturity (or a vector of maturities)

Value

returns a vector consisting of the calculated spot rates

Author(s)

Robert Ferstl, Josef Hayden

References

Lars E.O. Svensson (1994): Estimating and interpreting forward interest rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.

Examples

 svensson(c(0.07,0.3,0.05,0.1,0.08,0.2),1:30)

[Package termstrc version 1.0 Index]