| SmithWilsonYieldCurve-package {SmithWilsonYieldCurve} | R Documentation |
Fit yield curves using the Smith-Wilson method
Description
A package to fit yield curves using the Smith-Wilson method
Details
The main function exposed in this package is fFitSmithWilsonYieldCurve, which takes market data in the form of a vector of cashflow times, a matrix of cashflows and a vector of market prices. It returns an object of class "SmithWilsonYieldCurve".
A convenience function fFitSmithWilsonYieldCurveToInstruments takes a dataframe containing market instrument data as type, tenor, frequency and rate. It extracts the required vectors and matrices and then calls fFitSmithWilsonYieldCurve.
Objects of class SmithWilsonYieldCurve are a list, the first element of which is a function P(t), which returns the zero coupon bond price of the fitted curve at time t.
Author(s)
Phil Joubert phil.joubert@gmail.com
References
Smith A. and Wilson, T. - "Fitting Yield curves with long Term Constraints" (2001)
Examples
dfInstruments <- data.frame(c("SWAP", "SWAP"), c(1,10), c(1,1), c(0.025, 0.05))
colnames( dfInstruments ) <- c( "Type", "Tenor", "Frequency", "Rate" )
Curve <- fFitSmithWilsonYieldCurveToInstruments( dfInstruments, 0.04, 0.1 )
plot( Curve )