residuals: Model residuals
In ycinterextra: Yield curve or zero-coupon prices interpolation and extrapolation

Description Usage Arguments Details Value Author(s) See Also Examples

Extracting the residuals of the model

1	residuals(.Object)

.Object

An S4 object created by ycinter or ycextra.

This function extracts the residuals sum ot the model after the intepolation. When extrapolation is carried out, the function uses the values observed in the liquid part of the curve

A time series object giving the residuals

Thierry Moudiki

ycsummary

# 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 = 30, by = 0.5)

 # Svensson interpolation
 yc <- ycinter(p = p, matsin = u, matsout = t,
 method="SW", typeres="prices")

 residuals(yc)