forwardrates {termstrc}R Documentation

Forward Rate Calculation

Description

Calculates forward rates according to the Nelson/Siegel or Svensson approach.

Usage

forwardrates(method, beta, m)

Arguments

method method used for the forward rate calculation ("Nelson/Siegel" or "Svensson").
beta parameters corresponding to the chosen method.
m one maturity or a vector of maturities.

Value

The function returns a vector with the calculated forward rates.

See Also

fwr_ns, fwr_sv


[Package termstrc version 1.1 Index]