Displaying 1 result from an estimated 1 matches for "mediumterm".
2009 Nov 10
0
Nelson- Siegel - (Yield Curve - Smoothening of curve)
...will help me to carry out smoothening of
the curve.
The related pdf file consists
of following R code.
YieldCurve-package Modelling
and estimation of the yield curve (Page 2)
# __________________________________________________
data(FedYieldCurve)
tau <- c(3, 6, 12, 60, 84,
120)
mediumTerm <- c(12,60,84)
NSParameters <-
Nelson.Siegel( rate=FedYieldCurve[1:10,], maturity=tau, MidTau=mediumTerm )
y <-
NSrates(NSParameters[5,1:3],
NSParameters$lambda[5],tau)
plot(tau,FedYieldCurve[5,],main="Fitting
Nelson-Siegel yield curve", type="o")
lines(tau,y, col=...