svensson {termstrc} | R Documentation |
This function calculates the spot-rates for certain maturity dates and a parameter vector according to Svensson.
svensson(beta, m)
beta |
a vector of parameters (β_0, β_1,β_2,tau_1, β_3, tau_2) |
m |
one maturity (or a vector of maturities) |
returns a vector consisting of the calculated spot rates
Robert Ferstl, Josef Hayden
Lars E.O. Svensson (1994): Estimating and interpreting forward interest rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.
svensson(c(0.07,0.3,0.05,0.1,0.08,0.2),1:30)