Svensson {YieldCurve} | R Documentation |
Estimation of the Svensson parameters
Description
Returns the estimated coefficients of the Svensson's model.
Usage
Svensson(rate, maturity )
Arguments
rate |
vector or matrix which contains the interest rates. |
maturity |
vector which contains the maturity (in months) of the |
Details
The Svensson's model to describe the forward rate is:
The spot rate can be derived from forward rate and it is given by:
Value
Returns a data frame with the estimated coefficients: ,
,
,
,
and
.
Author(s)
Sergio Salvino Guirreri
References
Svensson, L.E. (1994), Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994, IMF Working Paper, WP/94/114.
Nelson, C.R., and A.F. Siegel (1987), Parsimonious Modeling of Yield Curve, The Journal of Business, 60, 473-489.
Examples
data(ECBYieldCurve)
maturity.ECB <- c(0.25,0.5,seq(1,30,by=1))
A <- Svensson(ECBYieldCurve[1:10,], maturity.ECB )
Svensson.rate <- Srates( A, maturity.ECB, "Spot" )
plot(maturity.ECB, Svensson.rate[5,],main="Fitting Svensson yield curve",
xlab=c("Pillars in years"), type="l", col=3)
lines( maturity.ECB, ECBYieldCurve[5,],col=2)
legend("topleft",legend=c("fitted yield curve","observed yield curve"),
col=c(3,2),lty=1)
grid()
[Package YieldCurve version 5.1 Index]