nelson_siegel {termstrc}R Documentation

Spot Rate Function according to Nelson/Siegel

Description

This function calculates the spot rates for certain maturity dates and a parameter vector according to Nelson/Siegel.

Usage

nelson_siegel(beta, m)

Arguments

beta a vector of parameters (β_0, β_1, β_2, tau_1)
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

Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious modeling of yield curves. The Journal of Business, 60(4):473–489.

Examples


nelson_siegel(rep(0.01,4),1:30)

[Package termstrc version 1.0 Index]