nelson_siegel            package:termstrc            R Documentation

_S_p_o_t _R_a_t_e _F_u_n_c_t_i_o_n _a_c_c_o_r_d_i_n_g _t_o _N_e_l_s_o_n/_S_i_e_g_e_l

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

     This function calculates the spot rates for certain maturity dates
     and a parameter vector according to Nelson/Siegel.

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

     nelson_siegel(beta, m)

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

    beta: a vector of parameters (beta_0, beta_1, beta_2, tau_1) 

       m: one maturity (or a vector of maturities) 

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

     returns a vector consisting of the calculated spot rates

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

     Robert Ferstl, Josef Hayden

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

     Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious
     modeling of yield curves. _The Journal  of Business_,
     *60(4)*:473-489.

_E_x_a_m_p_l_e_s:

     nelson_siegel(rep(0.01,4),1:30)

