Maturities function

Create a vector of numerical maturities in years

Maturities(DataYields, Economies, UnitYields)

Arguments

• DataYields: matrix containing all yields of the system (JxT,if the model is single-country-based or CJxT if the model is multy-country-based)
• Economies: vector containing names of all the economies of the system
• UnitYields: (i) "Month": if maturity of yields are expressed in months or (ii) "Year": if maturity of yields are expressed in years

Returns

Vector containing all observed maturities expressed in years