gi {termstrc} | R Documentation |
Calculation of the cubic functions according to an approach of McCulloch (1975)
gi(t, T, i, s)
t |
maturity |
T |
knot points |
i |
index |
s |
number of basis functions |
Robert Ferstl, Josef Hayden
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