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.

References

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


[Package termstrc version 1.1 Index]