spotrates {termstrc}R Documentation

Function for the Calculation of the Spot Rates

Description

The function calculates the spot rates for the chosen approach, a provided maturity vector and parameter set

Usage

spotrates(method, beta, m)

Arguments

method "Nelson/Siegel","Svensson"
beta parameter set
m maturity vector

Author(s)

Robert Ferstl, Josef Hayden


[Package termstrc version 1.0 Index]