SmithWilsonYieldCurve-package |
Fit yield curves using the Smith-Wilson method |
fCreateCashflowMatrix |
Returns the matrix of cashflows for the list of instruments |
fCreateKernelMatrix |
Create the matrix of kernel functions |
fCreateTimeVector |
Extract a vector of cashflow times in years from a list of instruments |
fFitKernelWeights |
Solve for the vector xi of kernel weights |
fFitSmithWilsonYieldCurve |
Construct the Smith-Wilson yield curve |
fFitSmithWilsonYieldCurveToInstruments |
Construct the Smith-Wilson yield curve |
fFitYieldCurve |
Constructs the ZCB function based on the given market inputs and a specific kernel and base function |
fGetCashflowsBond |
Gets the cashflow schedule for a bond |
fGetCashflowsLibor |
Gets the cashflow schedule for a LIBOR agreement |
fGetCashflowsSwap |
Gets the cashflow schedule for a swap |
fGetTimesBond |
Extract the payment dates of a Bond in years |
fGetTimesLibor |
Extract the payment date of a LIBOR agreement in years |
fGetTimesSwap |
Extract the payment dates of a Swap agreement in years |
fWilson |
Wilson function |
lines.SmithWilsonYieldCurve |
Plot generic for SmithWilsonYieldCurve objects |
plot.SmithWilsonYieldCurve |
Plot generic for SmithWilsonYieldCurve objects |
points.SmithWilsonYieldCurve |
Plot generic for SmithWilsonYieldCurve objects |
SmithWilsonYieldCurve |
Fit yield curves using the Smith-Wilson method |