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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}.
}
\examples{
Yield = c(
0.04984, 0.05283, 0.05549, 0.05777, 0.05961, 0.06102, 0.06216, 0.06314,
0.06403,
0.06488, 0.06568, 0.06644, 0.06717, 0.06786, 0.06852, 0.06913, 0.06969,
0.07020,
0.07134, 0.07205, 0.07339, 0.07500, 0.07710, 0.07860, 0.08011, 0.08114,
0.08194,
0.08274, 0.08355, 0.08434, 0.08512, 0.08588, 0.08662, 0.08731, 0.08794,
0.08851,
0.08900, 0.08939, 0.08967, 0.08980, 0.08976, 0.08954, 0.08910, 0.08843,
0.08748,
0.08626, 0.08474, 0.08291)
Maturity = c(
0.083, 0.167, 0.250, 0.333, 0.417, 0.500, 0.583, 0.667,
0.750, 0.833,
0.917, 1.000, 1.083, 1.167, 1.250, 1.333, 1.417, 1.500,
1.750, 2.000,
2.500, 3.000, 4.000, 5.000, 6.000, 7.000, 8.000, 9.000, 10.000,
11.000,
12.000, 13.000, 14.000, 15.000, 16.000, 17.000, 18.000, 19.000, 20.000,
21.000,
22.000, 23.000, 24.000, 25.000, 26.000, 27.000, 28.000, 29.000)
NelsonSiegel(Yield, Maturity)
par(mfrow = c(2, 2))
Svensson(Yield, Maturity)
}
\keyword{datasets}
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