| Title: | Rmetrics - Pricing and Evaluating Bonds |
| Date: | 2017-11-12 |
| Version: | 3042.78 |
| Author: | Diethelm Wuertz [aut], Tobias Setz [cre] |
| Maintainer: | Tobias Setz <tobias.setz@live.com> |
| Description: | It implements the Nelson-Siegel and the Nelson-Siegel-Svensson term structures. |
| Depends: | R (≥ 2.15.1), timeDate, timeSeries, fBasics |
| Imports: | graphics, stats |
| Suggests: | RUnit |
| LazyData: | yes |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | http://www.rmetrics.org |
| NeedsCompilation: | no |
| Packaged: | 2017-11-15 19:16:28 UTC; Tobias Setz |
| Repository: | CRAN |
| Date/Publication: | 2017-11-15 22:30:09 UTC |
Pricing and Evaluating Bonds
Description
The Rmetrics "fBonds" package is a collection of functions for pricing and evaluating bonds and to compute term structures.
Details
Package: \tab fBonds\cr
Type: \tab Package\cr
Version: \tab R 3.0.1\cr
Date: \tab 2014\cr
License: \tab GPL Version 2 or later\cr
Copyright: \tab (c) 1999-2014 Rmetrics Assiciation\cr
URL: \tab \url{https://www.rmetrics.org}
1 Introduction
This section provides functions to valuate Bonds and to calculate term structures.
2 Term Structure Calculation
This section provides two functions for term structure modelling based on the Nelson-Siegel, and on the Svennson approach.
NelsonSiegel models Nelson-Siegel Term Structure
Svensson models Nelson-Siegel-Svensson Term Structure
About Rmetrics
The fBonds Rmetrics package is written for educational
support in teaching "Computational Finance and Financial Engineering"
and licensed under the GPL.
Term Structure Modelling
Description
A collection and description of functions
for term structure modelling.
The functions are:
NelsonSiegel | Nelson-Siegel Term Structure, |
Svensson | Nelson-Siegel-Svensson Term Structure. |
Usage
NelsonSiegel(rate, maturity, doplot = TRUE)
Svensson(rate, maturity, doplot = TRUE)
Arguments
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. |
Value
a list object with entries returned from the optimization function
nlminb.
References
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.
Examples
Yield = c(
0.04984, 0.05283, 0.05549, 0.05777, 0.05961, 0.06102, 0.06216, 0.06314,
0.06403,
0.06488, 0.06568, 0.06644, 0.06717, 0.06786, 0.06852, 0.06913, 0.06969,
0.07020,
0.07134, 0.07205, 0.07339, 0.07500, 0.07710, 0.07860, 0.08011, 0.08114,
0.08194,
0.08274, 0.08355, 0.08434, 0.08512, 0.08588, 0.08662, 0.08731, 0.08794,
0.08851,
0.08900, 0.08939, 0.08967, 0.08980, 0.08976, 0.08954, 0.08910, 0.08843,
0.08748,
0.08626, 0.08474, 0.08291)
Maturity = c(
0.083, 0.167, 0.250, 0.333, 0.417, 0.500, 0.583, 0.667,
0.750, 0.833,
0.917, 1.000, 1.083, 1.167, 1.250, 1.333, 1.417, 1.500,
1.750, 2.000,
2.500, 3.000, 4.000, 5.000, 6.000, 7.000, 8.000, 9.000, 10.000,
11.000,
12.000, 13.000, 14.000, 15.000, 16.000, 17.000, 18.000, 19.000, 20.000,
21.000,
22.000, 23.000, 24.000, 25.000, 26.000, 27.000, 28.000, 29.000)
NelsonSiegel(Yield, Maturity)
par(mfrow = c(2, 2))
Svensson(Yield, Maturity)