Description Usage Arguments Details Value Author(s) See Also Examples
Extraction of estimated coefficients obtained from interpolation or extrapolation
1 | coeffs(.Object)
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.Object |
An S4 object created by
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This function returns the coefficients obtained from interpolation or extrapolation into a vector.
A vector of estimated coefficients depending on the
method
used in ycinter
or
ycextra
Thierry Moudiki
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 | # Prices
p <- c(0.9859794,0.9744879,0.9602458,0.9416551,0.9196671,0.8957363,0.8716268,0.8482628,
0.8255457,0.8034710,0.7819525,0.7612204,0.7416912,0.7237042,0.7072136
,0.6922140,0.6785227,0.6660095,0.6546902,0.6441639,0.6343366,0.6250234,0.6162910,0.6080358,
0.6003302,0.5929791,0.5858711,0.5789852,0.5722068,0.5653231)
# Observed maturities
u <- 1:30
# Output maturities
t <- seq(from = 1, to = 60, by = 0.5)
# Svensson extrapolation
yc <- ycextra(p = p, matsin = u, matsout = t,
method="SV", typeres="prices", UFR = 0.018)
coeffs(yc)
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Loading required package: compiler
Attaching package: 'ycinterextra'
The following objects are masked from 'package:stats':
deviance, fitted, residuals
The following object is masked from 'package:base':
as.list
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[1] 0.0180000000 -0.0005215511 -0.0688081147 0.0788325074 2.7512342221
[6] 5.4899524988
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