A vector of non-negative numerical quantities,
containing the yield to maturities.
p
A vector of non-negative numerical quantities,
containing the zero-coupon prices.
matsin
A vector containing the observed
maturities.
matsout
the output maturities needed.
method
A character string giving the type of
method used fo intepolation and extrapolation. method can be either
"NS" for Nelson-Siegel, "SV" for Svensson, or "SW" Smith-Wilson.
typeres
A character string, giving the type of
return. Either "prices" or "rates".
UFR
The ultimate forward rate.
T_UFR
The number of years after which the yield
curve converges to the UFR. T_UFR is used only
when method is "SW".
Details
This function interpolates between observed points of a
yield curve, or zero-coupon prices, and extrapolates the
curve using the Nelson-Siegel, Svensson, Smith-Wilson
models. The result can be either prices or zero rates.
For the purpose of extrapolation, an ultimate forward
rate (UFR) to which the yield curve converges must be
provided. With the Smith-Wilson method, a period of
convergence (number of years) to the ultimate forward
rate, after the last liquid point, must be provided.
Value
An S4 Object, that can be easily converted into a list with
as.list