[R] Yield Curve Package Svensson

Jonas Ulbrich Jonas.Ulbrich at ruhr-uni-bochum.de
Tue Jun 3 15:05:12 CEST 2014


Hi,

thank you for your rapid answer. The problem is solved.

My second and last question is as follows:


I use the yield curve package and I want to calculate the fitted yields 
via the Svensson approach.
The I have already calculated the six required parameters. At first I 
read them in from a CSV-file.
NSSParameter<-(read.csv("C:/Users/admin/Desktop/Universität/SeminarinFinance/R/ParameterSvensson.csv",sep=";",dec=".",header=TRUE)

Now I want to plug them in in the function.
Srates(NSSParameter,maturity,whichRate = "Spot").

NSSParameter is defined as mentioned above looks like for 500 values:

beta_0    beta_1       beta_2     beta_3      tau1     tau2
   1 3.824276 -3.726540 -1.878026723  -3.856153 1.1617407 1.672910
   2 3.786777 -3.688137 -1.929259408  -3.780010 1.1617407 1.672910

Maturity is maturity<-c(1/12,3/12,6/12,1,2,3,5,7,10,20,30).
Spot is the sort of interest rate I want to determine.

The error request I receive now is: Error in hasTsp(x) : invalid time 
series parameters specified. How fix this concrete case? I have not 
found an example to that.

Best Regards Jonas



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