- Calibration of the kernel functions is done by the function Calibrate_b.
- Interpolation/extrapolation of targeted maturitites is done by the function ExtrapolateSW.
- Observed market data
- Observable rates and the maturities of the market bonds.
- Ultimate froward rate ufr represents the rate to which the rate curve will converge as time increases.
- Convergence speed parameter alpha controls the speed at which the curve converges towards the ufr from the last liquid point.
- For which maturities do we want the SW algorithm to calculate the rates.
Gregor Fabjan (2021). Smith-Wilson algorithm (https://www.mathworks.com/matlabcentral/fileexchange/100476-smith-wilson-algorithm), MATLAB Central File Exchange. Retrieved .
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