gi                 package:termstrc                 R Documentation

_C_u_b_i_c _F_u_n_c_t_i_o_n_s

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

     Calculation of the cubic functions according to an approach of
     McCulloch (1975)

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

     gi(t, T, i, s)

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

       t: maturity 

       T: knot points

       i: index

       s: number of basis functions

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

     Robert Ferstl, Josef Hayden

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

     J. Huston McCulloch (1971): Measuring the Term Structure of
     Interest Rates. _The Journal of Business, *44* 19-31._ 

     J. Huston McCulloch (1975): The Tax-Adjusted Yield Curve. _The
     Journal of Finance, *30* 811-830._ 

     Sanjay K. Nawalkha and Gloria M. Soto and Natalia K. Beliaeva
     (2005): Interest Rate Risk Modeling : The Fixed Income Valuation
     Course _Wiley Finance,60-67_

