nelson_siegel {termstrc} | R Documentation |
This function calculates the spot rates for certain maturity dates and a parameter vector according to Nelson/Siegel (1987).
nelson_siegel(beta, m)
beta |
a vector of parameters {bm{β}} = (β_0,β_1,β_2,tau_1). |
m |
one maturity (or a vector of maturities). |
The spot rate according to Nelson/Siegel for a maturity m is 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})).
Returns a vector consisting of 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.
nelson_siegel(rep(0.01,4),1:30)