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\name{TermStructure}
\alias{TermStructure}
\alias{NelsonSiegel}
\alias{Svensson}
\title{Term Structure Modelling}
\description{
A collection and description of functions
for term structure modelling.
\cr
The functions are:
\tabular{ll}{
\code{NelsonSiegel} \tab Nelson-Siegel Term Structure, \cr
\code{Svensson} \tab Nelson-Siegel-Svensson Term Structure. }
}
\usage{
NelsonSiegel(rate, maturity, doplot = TRUE)
Svensson(rate, maturity, doplot = TRUE)
}
\arguments{
\item{doplot}{
a logical. Should a plot be displayed?
}
\item{maturity}{
a numeric vector of maturities on an annual scale.
}
\item{rate}{
a numeric vector of forward rates.
}
}
\value{
a list object with entries returned from the optimization function
\code{nlminb}.
}
\references{
McCulloch J. H. (1990);
\emph{US Term Structure Data: 1946-87},
Handbook of Monetary Economics, Friedman B.M. and Hahn F.H. (eds.),
Elsevier Science.
McCulloch J. H. and Kwon, H.C. (1993);
\emph{US Term Structure Data: 1947-1991},
Working Paper No. 93-6, Department of Economics,
Ohio State University.
Zivot E., Wang J.;
\emph{Modeling Financial Time Series with S-Plus}.
}
\keyword{datasets}
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