bond_prices             package:termstrc             R Documentation

_B_o_n_d _P_r_i_c_e _C_a_l_c_u_l_a_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     Function for the calculation of bond prices according to the
     chosen approach  (Nelson and Siegel or Svensson) based on the
     cashflows and maturities of the bonds.

_U_s_a_g_e:

     bond_prices(method = "Nelson/Siegel", beta, m, cf)

_A_r_g_u_m_e_n_t_s:

  method: defines the desired method,  '"Nelson/Siegel"' for the
          Nelson/Siegel approach or '"Svensson"' for the Svensson
          approach

    beta: parameter vector, is linked to the chosen approach

       m: maturities matrix, consists of the maturity dates which are
          appended to the cashflows of the bonds   

      cf: cashflows matrix

_V_a_l_u_e:

     Returns a list with:

spot_rates: spot rates

discount_factors: discount factors

bond_prices: bond prices

_N_o_t_e:

_A_u_t_h_o_r(_s):

     Robert Ferstl, Josef Hayden

_R_e_f_e_r_e_n_c_e_s:

     David Bolder and David Streliski (1999): Yield Curve Modelling at
     the Bank of Canada._Technical Report No 84 Bank of Canada_

_S_e_e _A_l_s_o:

     'svensson', 'nelson_siegel'

