gi {termstrc}R Documentation

Cubic Functions

Description

Calculation of the cubic functions according to an approach of McCulloch (1975)

Usage

gi(t, T, i, s)

Arguments

t maturity
T knot points
i index
s number of basis functions

Author(s)

Robert Ferstl, Josef Hayden

References

J. Huston McCulloch (1971): Measuring the Term Structure of Interest Rates. The Journal of Business, 44 19–31.

J. Huston McCulloch (1975): The Tax-Adjusted Yield Curve. The Journal of Finance, 30 811–830.

Sanjay K. Nawalkha and Gloria M. Soto and Natalia K. Beliaeva (2005): Interest Rate Risk Modeling : The Fixed Income Valuation Course Wiley Finance,60–67


[Package termstrc version 1.0 Index]