fwr_sv {termstrc} | R Documentation |
Calculate forward rates according to Svensson (1994).
fwr_sv(beta, m)
beta |
parameter vector {bm{β}} = (β_0,β_1,β_2,tau_1,β_3,tau_2). |
m |
maturity or vector of maturities. |
The forward rate for a maturity m is calculated according to the following formula:
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] +β_3<=ft[(frac{m}{tau_2})exp(-frac{m}{tau_2})right].
Returns the a vector with the calculated forward rate (vector).
Lars E.O. Svensson (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.