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nrates
2009 Nov 10
0
Nelson- Siegel - (Yield Curve - Smoothening of curve)
...odelling
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",legend=c("observed
yield curve","fitted yield curve"),
col=c(1,2),lty=1)
#...