nssPredict

swordfish.function.nssPredict()

Predict yield using the NS/NSS model.

Parameters:

• model (Constant) –

  A dictionary with the following key-value pairs:

  • modelName: A string “ns” (Nelson-Siegel) or “nss” (Nelson-Siegel-Svensson).

  • params: A numeric vector indicating the fitted model parameters.

  • NS model: a vector of length 4, containing β0, β1, β2, λ.

  • NSS model: a vector of length 6, containing β0, β1, β2, β3, λ0, λ1.

• T (Constant) – A numeric vector with positive elements, indicating the maturity (in years) of a bond.