fwr_ns {termstrc} | R Documentation |
Calculate forward rates according to the Nelson/Siegel (1987) approach.
fwr_ns(beta, m)
beta |
parameter vector {bm{β}} = (β_0,β_1,β_2,tau_1). |
m |
maturity or maturity vector. |
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].
The function returns the calculated forward rate (vector).
Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4):473–489.