Smith & Wilson algorithm
- Observed yields of the zero-coupon bonds (ZCB).
- Maturity of the observed ZCB.
- Ultimate froward rate ufr represents the rate to which the rate curve will converge as time increases.
- Convergence speed parameter α controls the speed at which the curve converges towards the ufr parameter from the last liquid point (last data point available in the market information input).
- List of maturities for which the SW algorithm will calculate the yields.
- The available market data and the parameters are used to calibrate the algorithm. This returns a calibration vector that can be used to interpolate or extrapolate target maturities. This is done by calibrating the kernel functions. Look at the function Calibrate_b().
- The yields for ZCB with targeted maturities are Interpolated/extrapolated. Look at the function ExtrapolateSW().
인용 양식
Gregor Fabjan (2024). Smith & Wilson algorithm (https://github.com/qnity/smith_wilson_matlab), GitHub. 검색됨 .
MATLAB 릴리스 호환 정보
플랫폼 호환성
Windows macOS Linux태그
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!GitHub 디폴트 브랜치를 사용하는 버전은 다운로드할 수 없음
버전 | 게시됨 | 릴리스 정보 | |
---|---|---|---|
1.1.6 | Project now has a website |
|
|
1.1.5 | New GitHub name for our company |
|
|
1.1.4 | Linked to the new GitHub address |
|
|
1.1.3 | Updated to a working GitHub link |
||
1.1.2 | Forgot to include T_Obs = [1; 2; 4; 5; 6; 7] in the example |
||
1.1.1 | Minor fixes |
||
1.1.0 | Typo in SWExtrapolate |
||
1.0.9 | Minor formating changes |
||
1.0.8 | Added link to GitHub |
||
1.0.7 | Reformated the documentation for better clarity. |
||
1.0.6 | Fixed name of SWExtrapolate function in description |
||
1.0.5 | Fixed the name of SWCalibrate in the description |
||
1.0.4 | Per request added an example of use in the description |
||
1.0.3 | Added a link to the Excel example. |
||
1.0.2 | Removed repetitive parts of the description |
||
1.0.1 | Conversion of the file main.mlx to main.m. |
||
1.0.0 |