svensson              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 _S_v_e_n_s_s_o_n

_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 Svensson.

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

     svensson(beta, m)

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

    beta: a vector of parameters (beta_0, beta_1,beta_2,tau_1, beta_3,
          tau_2) 

       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:

     Lars E.O. Svensson (1994): Estimating and interpreting forward
     interest rates: Sweden 1992 -1994.  _Technical Reports 4871,
     National Bureau of Economic Research_.

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

      svensson(c(0.07,0.3,0.05,0.1,0.08,0.2),1:30)

