NSrates {YieldCurve}R Documentation

Interest rates of the Nelson-Siegel's model.

Description

Returns the interest rates by Nelson-Siegel's model.

Usage

NSrates(betaCoeff, lambdat, maturity)

Arguments

betaCoeff vector or matrix of the beta's coefficients.
lambdat value of the estimated lambda
maturity maturity of the yield curve of which want to return the interest rates.

Details

betaCoeff is a vector or matrix of the three coefficients of the Nelson-Siegel's model

Value

Return interest rates in matrix object with number of rows equal to nrow(betaCoeff) and number of columns equal to length(maturity).

Author(s)

Sergio Salvino Guirreri

References

Diebold, F.X. and Li, C. (2006), Forecasting the Term Structure of Government Bond Yields, Journal of Econometrics, 130, 337-364.

Diebold, F.X., Ji, L. and Li, C. (2006), A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration, in L.R. Klein (ed.), Long-Run Growth and Short-Run Stabilization: Essays in Memory of Albert Ando. Cheltenham, U.K.: Edward Elgar, 240-274.

Nelson, C.R., and A.F. Siegel (1987), Parsimonious Modeling of Yield Curve, The Journal of Business, 60, 473-489.

Examples

 
data(FedYieldCurve)
b <- c(11.17514, -3.979371, 0.1302654)
lambda <- c(0.1494588)
tau <- c(3, 6, 12, 60, 84, 120 )
y <- NSrates( b, lambda, tau)
plot(tau,FedYieldCurve[10,],main="Fitting Nelson-Siegel yield curve", type="o")
lines(tau,y, col=2)
legend("topleft",legend=c("observed yield curve","fitted yield curve"),
col=c(1,2),lty=1)
grid()

[Package YieldCurve version 2.0 Index]