nelson_siegel {termstrc}R Documentation

Spot Rate Function according to Nelson/Siegel

Description

This function calculates the spot rates for certain maturity dates and a parameter vector according to Nelson/Siegel (1987).

Usage

nelson_siegel(beta, m)

Arguments

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

Details

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})).

Value

Returns a vector consisting of the calculated spot rates.

References

Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4):473–489.

Examples


nelson_siegel(rep(0.01,4),1:30)

[Package termstrc version 1.1 Index]