Package 'SmithWilsonYieldCurve'

Title: Smith-Wilson Yield Curve Construction
Description: Constructs a yield curve by the Smith-Wilson method from a table of libor and swap rates. Now updated to take bond coupons and prices in the same table.
Authors: Phil Joubert [aut, cre]
Maintainer: Phil Joubert <[email protected]>
License: GPL-3
Version: 1.1.1
Built: 2025-03-10 02:31:48 UTC
Source: https://github.com/cran/SmithWilsonYieldCurve

Help Index

Fit yield curves using the Smith-Wilson method

Description

A package to fit yield curves using the Smith-Wilson method

Details

The main function exposed in this package is fFitSmithWilsonYieldCurve, which takes market data in the form of a vector of cashflow times, a matrix of cashflows and a vector of market prices. It returns an object of class "SmithWilsonYieldCurve".

A convenience function fFitSmithWilsonYieldCurveToInstruments takes a dataframe containing market instrument data as type, tenor, frequency and rate. It extracts the required vectors and matrices and then calls fFitSmithWilsonYieldCurve.

Objects of class SmithWilsonYieldCurve are a list, the first element of which is a function P(t), which returns the zero coupon bond price of the fitted curve at time t.

Author(s)

Phil Joubert [email protected]

References

Smith A. and Wilson, T. - "Fitting Yield curves with long Term Constraints" (2001)

Examples

dfInstruments <- data.frame(c("SWAP", "SWAP"), c(1,10), c(1,1), c(0.025, 0.05))
	colnames( dfInstruments ) <- c( "Type", "Tenor", "Frequency", "Rate" )
	Curve <- fFitSmithWilsonYieldCurveToInstruments( dfInstruments, 0.04, 0.1 )
	plot( Curve )

Returns the matrix of cashflows for the list of instruments

Description

Returns the matrix of cashflows for the list of instruments

Usage

fCreateCashflowMatrix(dfInstruments)

Arguments

dfInstruments

A set of market instruments as a dataframe with columns Type, Tenor, Frequency and Rate with Type in (LIBOR, SWAP, BOND), Tenor the instrument maturity in years and rate the rate per annum

Create the matrix of kernel functions

Description

Creates a J x J matrix [ w(u_i,u_j) ] where J is the number of cashflow times in the calibration set

Usage

fCreateKernelMatrix(times, fKernel)

Arguments

times

a vector of cashflow times
fKernel

a kernel to apply (a function of times x times returning a matrix )

Extract a vector of cashflow times in years from a list of instruments

Description

Assumes that LIBOR tenor is in days, with 365 days per year. Assumes that SWAPs are semi-annual Returns a vector of all unique cashflow times in years

Usage

fCreateTimeVector(dfInstruments)

Arguments

dfInstruments

A dataframe of instuments with at least columns Type and Tenor

Solve for the vector xi of kernel weights

Description

Solve for the vector xi of kernel weights

Usage

fFitKernelWeights(CashflowMatrix, KernelFunctionMatrix,
    MarketValueVector, BaseZeroVector)

Arguments

CashflowMatrix

A matrix of all cashflows, instruments in rows, times in columns
KernelFunctionMatrix

A matrix of kernel function values
MarketValueVector

A vector of market values of the insturments
BaseZeroVector

A vector of "base" values for the zeros

Construct the Smith-Wilson yield curve

Description

Constructs the SmithWilson ZCB function based on the given market inputs and parameter choices

Usage

fFitSmithWilsonYieldCurve(
  TimesVector,
  CashflowMatrix,
  MarketValueVector,
  ufr,
  alpha
)

Arguments

TimesVector

A vector of all cashflow times
CashflowMatrix

A matrix of all cashflows, instruments in rows, times in columns
MarketValueVector

A vector of market values of the insturments
ufr

The Ultimate Forward Rate (UFR) of the Smith-Wilson kernel
alpha

The rate of reversion of forward rates to the UFR in the Smith-Wilson kernel

Value

a list containing:

  • "P" a function of time which gives the ZCB price to that term

  • "xi" the vector of weights applied to the kernel functions to obtain the ZCB price

  • "K" the (compound) kernel vector

Construct the Smith-Wilson yield curve

Description

Constructs the SmithWilson ZCB function based on the given market inputs and parameter choices. Primarily a convenience wrapper around other package functions

Usage

fFitSmithWilsonYieldCurveToInstruments(InstrumentSet, ufr, alpha)

Arguments

InstrumentSet

A set of market instruments as a dataframe with columns

  • "Type" One of (LIBOR, SWAP, BOND)

  • "Tenor" The instrument maturity in years

  • "Frequency" The payment frequency (ignored for Type=="LIBOR" )

  • "Rate" The coupon rate per annum in percent

  • "Price"The price per unit nominal for a bond

ufr

The Ultimate Forward Rate (UFR) of the Smith-Wilson kernel
alpha

The rate of reversion of forward rates to the UFR in the Smith-Wilson kernel

Value

a list containing:

  • "P" a function of time which gives the ZCB price to that term

  • "xi" the vector of weights applied to the kernel functions to obtain the ZCB price

  • "K" the (compound) kernel vector

Constructs the ZCB function based on the given market inputs and a specific kernel and base function

Description

Constructs the ZCB function based on the given market inputs and a specific kernel and base function

Usage

fFitYieldCurve(TimesVector, CashflowMatrix,
    MarketValueVector, fKernel, fBase)

Arguments

TimesVector

A vector of all cashflow times
CashflowMatrix

A matrix of all cashflows, instruments in rows, times in columns
MarketValueVector

A vector of market values of the insturments
fKernel

a function of two times used as the Kernel "basis" function
fBase

a function giving the base level of the curve

Value

a list comprising elements: a function of time which gives the ZCB price to that time

Gets the cashflow schedule for a bond

Description

Gets the cashflow schedule for a bond

Usage

fGetCashflowsBond(dfInstrument)

Arguments

dfInstrument

A market instrument as a dataframe with columns Frequency, Tenor and Rate with Type in (LIBOR, SWAP), Tenor the instrument maturity in years and rate the rate per annum

Gets the cashflow schedule for a LIBOR agreement

Description

Gets the cashflow schedule for a LIBOR agreement

Usage

fGetCashflowsLibor(dfInstrument)

Arguments

dfInstrument

A set of market instruments as a dataframe with columns Type, Tenor and Rate with Type in (LIBOR, SWAP), Tenor the instrument maturity in years and rate the rate per annum

Gets the cashflow schedule for a swap

Description

Gets the cashflow schedule for a swap

Usage

fGetCashflowsSwap(dfInstrument)

Arguments

dfInstrument

A set of market instruments as a dataframe with columns Type, Tenor and Rate with Type in (LIBOR, SWAP), Tenor the instrument maturity in years and rate the rate per annum

Extract the payment dates of a Bond in years

Description

Extract the payment dates of a Bond in years

Usage

fGetTimesBond(dfInstrument)

Arguments

dfInstrument

A dataframe of an instrument with at least columns Frequency and Tenor

Extract the payment date of a LIBOR agreement in years

Description

Extract the payment date of a LIBOR agreement in years

Usage

fGetTimesLibor(dfInstrument)

Arguments

dfInstrument

A dataframe of instuments with at least columns Type and Tenor

Extract the payment dates of a Swap agreement in years

Description

Extract the payment dates of a Swap agreement in years

Usage

fGetTimesSwap(dfInstrument)

Arguments

dfInstrument

A dataframe of instuments with at least columns Type and Tenor

Wilson function

Description

Acts as a kernel for regression

Usage

fWilson(t, u, ufr, alpha)

Arguments

t

a time
u

another time
ufr

the ultimate forward rate
alpha

the spead of reversion to the ultimate forward rate

Plot generic for SmithWilsonYieldCurve objects

Description

Plot generic for SmithWilsonYieldCurve objects

Usage

## S3 method for class 'SmithWilsonYieldCurve'
lines(x, y, ..., aspect = c("cts", "zero"))

Arguments

x

An object of class SmithWilsonYieldCurve or a vector of terms to evaluate the curve at
y

Optionally an object of class SmithWilsonYieldCurve
...

other arguments to pass to the default lines function
aspect

either "cts" for continously compounded spot rates, or "zero" for ZCB prices

Value

No return value, called for side effect of drawing a graph of the curve

Plot generic for SmithWilsonYieldCurve objects

Description

Plot generic for SmithWilsonYieldCurve objects

Usage

## S3 method for class 'SmithWilsonYieldCurve'
plot(x, y, ..., aspect = c("cts", "zero"))

Arguments

x

An object of class SmithWilsonYieldCurve or a vector of terms to evaluate the curve at
y

Optionally an object of class SmithWilsonYieldCurve
...

other arguments to pass to the default plot function
aspect

either "cts" for continously compounded spot rates, or "zero" for ZCB prices

Value

No return value, called for side effect of drawing a graph of the curve

Plot generic for SmithWilsonYieldCurve objects

Description

Plot generic for SmithWilsonYieldCurve objects

Usage

## S3 method for class 'SmithWilsonYieldCurve'
points(x, y, ..., aspect = c("cts", "zero"))

Arguments

x

An object of class SmithWilsonYieldCurve or a vector of terms to evaluate the curve at
y

Optionally an object of class SmithWilsonYieldCurve
...

other arguments to pass to the default plot function
aspect

either "cts" for continously compounded spot rates, or "zero" for ZCB prices

Value

No return value, called for side effect of drawing a graph of the curve