TermStructure             package:fBonds             R Documentation

_T_e_r_m _S_t_r_u_c_t_u_r_e _M_o_d_e_l_l_i_n_g

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

     A collection and description of functions for term structure
     modelling. 

     The functions are:

       'NelsonSiegel'  Nelson-Siegel Term Structure,
       'Svensson'      Nelson-Siegel-Svensson Term Structure.

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

     NelsonSiegel(rate, maturity, doplot = TRUE)
     Svensson(rate, maturity, doplot = TRUE)

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

  doplot: a logical. Should a plot be displayed? 

maturity: a numeric vector of maturities on an annual scale. 

    rate: a numeric vector of forward rates. 

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

     a list object with entries returned from the optimization function
     'nlminb'.

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

     McCulloch J. H. (1990); _US Term Structure Data: 1946-87_, 
     Handbook of Monetary Economics, Friedman B.M. and Hahn F.H.
     (eds.),  Elsevier Science.  

     McCulloch J. H. and Kwon, H.C. (1993); _US Term Structure Data:
     1947-1991_,  Working Paper No. 93-6, Department of Economics, 
     Ohio State University.

     Zivot E., Wang J.; _Modeling Financial Time Series with S-Plus_.

