fFitSmithWilsonYieldCurve {SmithWilsonYieldCurve}

Construct the Smith-Wilson yield curve

Description

Constructs the SmithWilson ZCB function based on the given market inputs and parameter choices

Usage

fFitSmithWilsonYieldCurve(
  TimesVector,
  CashflowMatrix,
  MarketValueVector,
  ufr,
  alpha
)

Arguments

TimesVector

A vector of all cashflow times

CashflowMatrix

A matrix of all cashflows, instruments in rows, times in columns

MarketValueVector

A vector of market values of the insturments

ufr

The Ultimate Forward Rate (UFR) of the Smith-Wilson kernel

alpha

The rate of reversion of forward rates to the UFR in the Smith-Wilson kernel

Value

a list containing:

• "P" a function of time which gives the ZCB price to that term

• "xi" the vector of weights applied to the kernel functions to obtain the ZCB price

• "K" the (compound) kernel vector