NS {NMOF} | R Documentation |
Zero Rates for Nelson–Siegel–Svensson Model
Description
Compute zero yields for Nelson–Siegel (NS)/Nelson–Siegel–Svensson (NSS) model.
Usage
NS(param, tm)
NSS(param, tm)
Arguments
param |
a vector. For NS: |
tm |
a vector of maturities |
Details
See Chapter 14 in Gilli/Maringer/Schumann (2011).
Maturities (tm
) need to be given in time (not dates).
Value
The function returns a vector of length length(tm)
.
Author(s)
Enrico Schumann
References
Gilli, M. and Grosse, S. and Schumann, E. (2010) Calibrating the Nelson-Siegel-Svensson model, COMISEF Working Paper Series No. 031. https://enricoschumann.net/COMISEF/wps031.pdf
Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. doi:10.1016/C2017-0-01621-X
Gilli, M. and Schumann, E. (2010) A Note on ‘Good’ Starting Values in Numerical Optimisation, COMISEF Working Paper Series No. 044. https://enricoschumann.net/COMISEF/wps044.pdf
Nelson, C.R. and Siegel, A.F. (1987) Parsimonious Modeling of Yield Curves. Journal of Business, 60(4), pp. 473–489.
Schumann, E. (2023) Financial Optimisation with R (NMOF Manual). https://enricoschumann.net/NMOF.htm#NMOFmanual
Svensson, L.E. (1994) Estimating and Interpreting Forward Interest Rates: Sweden 1992–1994. IMF Working Paper 94/114.
See Also
Examples
tm <- c(c(1, 3, 6, 9) / 12, 1:10) ## in years
param <- c(6, 3, 8, 1)
yM <- NS(param, tm)
plot(tm, yM, xlab = "maturity in years",
ylab = "yield in percent")
param <- c(6, 3, 5, -5, 1, 3)
yM <- NSS(param, tm)
plot(tm, yM, xlab = "maturity in years",
ylab = "yield in percent")