Smith & Wilson algorithm
- 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 available in the market information input).
- List of maturities for which the SW algorithm will calculate the yields.
- The available market data and the parameters are used to calibrate 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().
Cite As
Gregor Fabjan (2024). Smith & Wilson algorithm (https://github.com/qnity/smith_wilson_matlab), GitHub. Retrieved .
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Versions that use the GitHub default branch cannot be downloaded
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1.1.6 | Project now has a website |
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1.1.5 | New GitHub name for our company |
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1.1.4 | Linked to the new GitHub address |
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1.1.3 | Updated to a working GitHub link |
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1.1.2 | Forgot to include T_Obs = [1; 2; 4; 5; 6; 7] in the example |
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1.1.1 | Minor fixes |
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1.1.0 | Typo in SWExtrapolate |
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1.0.9 | Minor formating changes |
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1.0.8 | Added link to GitHub |
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1.0.7 | Reformated the documentation for better clarity. |
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1.0.6 | Fixed name of SWExtrapolate function in description |
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1.0.5 | Fixed the name of SWCalibrate in the description |
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1.0.4 | Per request added an example of use in the description |
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1.0.3 | Added a link to the Excel example. |
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1.0.2 | Removed repetitive parts of the description |
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1.0.1 | Conversion of the file main.mlx to main.m. |
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1.0.0 |