spotrates {termstrc} | R Documentation |
The function calculates the spot rates for the chosen approach, a provided maturity vector and parameter set.
spotrates(method, beta, m)
method |
"Nelson/Siegel" or "Svensson" . |
beta |
parameter set bm{β}. |
m |
maturity or a vector of maturities. |
The spot rates according to Nelson/Siegel are defined as:
s(m,bm{β}) = β_0 + β_1frac{1-exp(-frac{m}{tau_1})}{frac{m}{tau_1}} + β_2(frac{1-exp(-frac{m}{tau_1})}{frac{m}{tau_1}} - exp(-frac{m}{tau_1})).
Svensson defines the spot rate function as follows:
s(m,bm{β}) = β_0 + β_1frac{1-exp(-frac{m}{tau_1})}{frac{m}{tau_1}} + β_2(frac{1-exp(-frac{m}{tau_1})}{frac{m}{tau_1}} - exp(-frac{m}{tau_1})) + β_3(frac{1-exp(-frac{m}{tau_2})}{frac{m}{tau_2}} - exp(-frac{m}{tau_2}))
Returns a vector with the calculated spot rates.
Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4):473–489.
Lars E.O. Svensson (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.