Chapter 5. Estimating the Term Structure of Interest Rates
In the previous chapter we discussed how changes in the level of interest rates, the term structure, affect the prices of fixed income securities. Now we focus on the estimation of the term structure of interest rates, which is a fundamental concept in finance. It is an important input in almost all financial decisions. This chapter will introduce term structure estimation methods by cubic spline regression, and it will demonstrate how one can estimate the term structure of interest rates using the termstrc package and the govbonds dataset.
The term structure of interest rates and related functions
A t-year zero-coupon bond with a face value of 1 USD is a security that pays 1 USD at maturity, ...
Get Introduction to R for Quantitative Finance now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
