forwardrates {termstrc} | R Documentation |
Calculates forward rates according to the Nelson/Siegel or Svensson approach.
forwardrates(method, beta, m)
method |
method used for the forward rate calculation ("Nelson/Siegel" or "Svensson" ). |
beta |
parameters corresponding to the chosen method. |
m |
one maturity or a vector of maturities. |
The function returns a vector with the calculated forward rates.