Smith & Wilson algorithm
Updated 07 Dec 2021
- 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 avalible in the market information input).
- List of maturities for which the SW algorithm will calculate the yields.
- The avalible market data and the parameters are used to "clibrate" 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().
Gregor Fabjan (2022). Smith & Wilson algorithm (https://www.mathworks.com/matlabcentral/fileexchange/100476-smith-wilson-algorithm), MATLAB Central File Exchange. Retrieved .
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