forwardrates: Forward rates extraction
In ycinterextra: Yield curve or zero-coupon prices interpolation and extrapolation
Description
Usage
Arguments
Value
Author(s)
See Also
Examples
Description
This function extracts the forward rates from the results
obtained with ycinter and
ycextra
Usage
1
forwardrates(.Object)
Arguments
.Object
An S4 object created by
ycinter or ycextra.
Value
A time series object giving the instantaneous forward
rates for methods "NS", "SV" and the forward rates
for methods "HCSPL", "SW"
Author(s)
Thierry Moudiki
See Also
Examples
1
2
3
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# 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 interpolation
yc <- ycextra(p = p, matsin = u, matsout = t,
method="SV", typeres="prices", UFR = 0.018)
plot(forwardrates(yc))
Example output
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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ycinterextra documentation built on May 1, 2019, 8:02 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Value Author(s) See Also Examples
Description
This function extracts the forward rates from the results
obtained with ycinter and
ycextra
Usage
1 | forwardrates(.Object)
|
Arguments
.Object |
An S4 object created by
|
Value
A time series object giving the instantaneous forward
rates for methods "NS", "SV" and the forward rates
for methods "HCSPL", "SW"
Author(s)
Thierry Moudiki
See Also
Examples
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 interpolation
yc <- ycextra(p = p, matsin = u, matsout = t,
method="SV", typeres="prices", UFR = 0.018)
plot(forwardrates(yc))
|
Example output
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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