Smith-Wilson Yield Curve Construction

Documentation for package ‘SmithWilsonYieldCurve’ version 1.1.1

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