svensson {termstrc}R Documentation

Spot Rate Function according to Svensson

Description

This function calculates the spot rates for certain maturity dates and a parameter vector according to Svensson (1994).

Usage

svensson(beta, m)

Arguments

beta a vector of parameters bm{β} = (β_0, β_1,β_2,tau_1, β_3, tau_2).
m one maturity (or a vector of maturities).

Details

The spot rate according to Svensson for a maturity m is calculated using the following function:

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}))

Value

Returns a vector consisting of the calculated spot rates.

References

Lars E.O. Svensson (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.

Examples

 svensson(c(0.07,0.3,0.05,0.1,0.08,0.2),1:30)

[Package termstrc version 1.1 Index]