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2009 Nov 10
0
Nelson- Siegel - (Yield Curve - Smoothening of curve)
...thening 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=2) legend("topleft&quot...