fwr_ns {termstrc}R Documentation

Forward Rate Calculation according to Nelson/Siegel

Description

Calculate forward rates according to the Nelson/Siegel (1987) approach.

Usage

fwr_ns(beta, m)

Arguments

beta parameter vector {bm{β}} = (β_0,β_1,β_2,tau_1).
m maturity or maturity vector.

Details

The forward rate for a maturity m is calculated using the following relationsship:

f(m,bm{β}) = β_0+β_1exp(-frac{m}{tau_1})+β_2<=ft[(frac{m}{tau_1})exp(-frac{m}{tau_1})right].

Value

The function returns the calculated forward rate (vector).

References

Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4):473–489.

See Also

fwr_sv, forwardrates


[Package termstrc version 1.1 Index]