fitSmithWilson
Syntax
Description
fits a Smith-Wilson curve to observed bond prices and returns a outCurve
= fitSmithWilson(Settle
,Instruments
,CleanPrice
,UltimateForwardRate
,LastLiquidPoint
)parametercurve
object.. After
creating a parametercurve
object for outCurve
, you
can use the associated object functions discountfactors
,
zerorates
, and
forwardrates
.
specifies options using one or more name-value arguments in addition to the input
arguments in the previous syntax. outCurve
= fitSmithWilson(___Name=Value
)
Examples
Input Arguments
Output Arguments
More About
References
[1] Lagerås A., and M. Lindholm. "Issues with Smith-Wilson Method." Insurance: Mathematics and Economics. Vol. 71, 2016, pp. 93–102.
[2] Smith, A., and T. Wilson. "Fitting Yield Curves with Long Term Constraints." Research report, Bacon and Woodrow, 2000.
Version History
Introduced in R2024a