parameters: Get parameters of the interpolation models

In fixedincome: Fixed Income Models, Calculations, Data Structures and Instruments

Get parameters of the interpolation models

Description

Gets parameters of parametric interpolation models like NelsonSiegel and NelsonSiegelSvensson.

Usage

parameters(x, ...)

Arguments

x	a Interpolation object.
...	additional arguments. Currently unused.

Value

A named vector with parameters of the models.

Examples

terms <- c(1, 11, 26, 27, 28)
rates <- c(0.0719, 0.056, 0.0674, 0.0687, 0.07)
curve <- spotratecurve(rates, terms, "discrete", "actual/365", "actual")
model <- fit_interpolation(interp_nelsonsiegel(0.1, 0.01, 0.01, 0.01), curve)
parameters(model)

fixedincome documentation built on July 9, 2023, 7:28 p.m.