ycinter: Yield curve or zero-coupon prices interpolation
In ycinterextra: Yield curve or zero-coupon prices interpolation and extrapolation
Description
Usage
Arguments
Details
Value
Author(s)
See Also
Examples
Description
Yield curve or zero-coupon bonds prices curve
interpolation using the Nelson-Siegel , Svensson,
Smith-Wilson models and an Hermite cubic spline.
Usage
1
2
3
Arguments
yM
A vector of non-negative numerical quantities,
containing the yield to maturities.
p
A vector of non-negative numerical quantities,
containing the zero-coupon prices.
matsin
A vector containing the observed
maturities.
matsout
the output maturities needed.
method
A character string giving the type of
method used fo intepolation. method can be either
"NS" for Nelson-Siegel, "SV" for Svensson, "HCSPL" for
Hermite cubic spline, or "SW" Smith-Wilson.
typeres
A character string, giving the type of
return. Either "prices" or "rates".
Details
This function interpolates between observed points of a
yield curve, or zero-coupon prices, using the
Nelson-Siegel, Svensson, Smith-Wilson models and an
Hermite cubic spline. The result can be either prices or
zero rates.
Value
An S4 Object, that can be easily converted into a list with
as.list
Author(s)
Thierry Moudiki
See Also
Examples
1
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## Interpolation of yields to matuities with prices as outputs
# Yield to maturities
txZC <- c(0.01422,0.01309,0.01380,0.01549,0.01747,0.01940,0.02104,0.02236,0.02348,
0.02446,0.02535,0.02614,0.02679,0.02727,0.02760,0.02779,0.02787,0.02786,0.02776
,0.02762,0.02745,0.02727,0.02707,0.02686,0.02663,0.02640,0.02618,0.02597,0.02578,0.02563)
# Zero-coupon 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)
# Cubic splines interpolation
yc <- ycinter(yM = txZC, matsin = u, matsout = t,
method="HCSPL", typeres="rates")
ycsummary(yc)
# Nelson-Siegel interpolation
yc <- ycinter(yM = txZC, matsin = u, matsout = t,
method="NS", typeres="prices")
ycsummary(yc)
# Svensson interpolation
yc <- ycinter(p = p, matsin = u, matsout = t,
method="SV", typeres="prices")
ycsummary(yc)
#Smith-Wilson interpolation
yc <- ycinter(p = p, matsin = u, matsout = t,
method="SW", typeres="rates")
ycsummary(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
Residuals:
Min. 1st Qu. Median Mean 3rd Qu. Max.
0 0 0 0 0 0
Coefficients:
NA
Total sum of squares:
0.0006433808
with 29 degrees of freedom
Explained sum of squares:
0.0006433808
with 0 degrees of freedom
Residual sum of squares:
0
with 29 degrees of freedom
Multiple R-squared * Adjusted R-squared
1 * 1
F-statistic: Inf on 29 and 0 degrees of freedom, p-value: NaN
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Residuals:
Min. 1st Qu. Median Mean 3rd Qu. Max.
-2.262e-03 -8.701e-04 -5.783e-05 0.000e+00 9.585e-04 1.652e-03
Coefficients:
0.02983522 0.002110269 -0.06247512 0.9659396
Total sum of squares:
0.0006433808
with 29 degrees of freedom
Explained sum of squares:
0.0006044614
with 3 degrees of freedom
Residual sum of squares:
3.891942e-05
with 26 degrees of freedom
Multiple R-squared * Adjusted R-squared
0.939508 * 0.9325281
F-statistic: 134.6029 on 26 and 3 degrees of freedom, p-value: 0.9990966
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Residuals:
Min. 1st Qu. Median Mean 3rd Qu. Max.
-1.493e-03 -7.112e-04 -4.867e-05 2.400e-06 5.118e-04 1.930e-03
Coefficients:
0.0167491 0.0007332705 -0.05879449 0.07261618 2.631427 6
Total sum of squares:
0.5390953
with 29 degrees of freedom
Explained sum of squares:
0.539073
with 5 degrees of freedom
Residual sum of squares:
2.229154e-05
with 24 degrees of freedom
Multiple R-squared * Adjusted R-squared
0.9999587 * 0.99995
F-statistic: 116077.7 on 24 and 5 degrees of freedom, p-value: 1
Residuals:
Min. 1st Qu. Median Mean 3rd Qu. Max.
9.812e-13 1.539e-12 2.233e-12 2.081e-12 2.636e-12 2.797e-12
Coefficients:
0.1 -16.27931 9.201802 2.29136 0.5161016 1.503706 -1.322325 -2.502516 1.114848 -0.873803 1.248141 0.5236537 0.2688466 -1.920069 0.9839525 -1.289441 0.0207775 1.912004 -4.485811 3.790045 -2.817423 3.673588 -3.551265 3.766333 -4.520132 1.482479 1.476094 -3.604975 6.799651 -33.04827 31.9271
Total sum of squares:
0.5390404
with 29 degrees of freedom
Explained sum of squares:
0.5390404
with 29 degrees of freedom
Residual sum of squares:
1.402434e-22
with 0 degrees of freedom
Multiple R-squared * Adjusted R-squared
1 * NaN
F-statistic: NaN on 0 and 29 degrees of freedom, p-value: NaN
ycinterextra documentation built on May 1, 2019, 8:02 p.m.
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Description Usage Arguments Details Value Author(s) See Also Examples
Description
Yield curve or zero-coupon bonds prices curve interpolation using the Nelson-Siegel , Svensson, Smith-Wilson models and an Hermite cubic spline.
Usage
1 2 3 |
Arguments
yM |
A vector of non-negative numerical quantities, containing the yield to maturities. |
p |
A vector of non-negative numerical quantities, containing the zero-coupon prices. |
matsin |
A vector containing the observed maturities. |
matsout |
the output maturities needed. |
method |
A character string giving the type of
method used fo intepolation. |
typeres |
A character string, giving the type of return. Either "prices" or "rates". |
Details
This function interpolates between observed points of a yield curve, or zero-coupon prices, using the Nelson-Siegel, Svensson, Smith-Wilson models and an Hermite cubic spline. The result can be either prices or zero rates.
Value
An S4 Object, that can be easily converted into a list with
as.list
Author(s)
Thierry Moudiki
See Also
Examples
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 | ## Interpolation of yields to matuities with prices as outputs
# Yield to maturities
txZC <- c(0.01422,0.01309,0.01380,0.01549,0.01747,0.01940,0.02104,0.02236,0.02348,
0.02446,0.02535,0.02614,0.02679,0.02727,0.02760,0.02779,0.02787,0.02786,0.02776
,0.02762,0.02745,0.02727,0.02707,0.02686,0.02663,0.02640,0.02618,0.02597,0.02578,0.02563)
# Zero-coupon 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)
# Cubic splines interpolation
yc <- ycinter(yM = txZC, matsin = u, matsout = t,
method="HCSPL", typeres="rates")
ycsummary(yc)
# Nelson-Siegel interpolation
yc <- ycinter(yM = txZC, matsin = u, matsout = t,
method="NS", typeres="prices")
ycsummary(yc)
# Svensson interpolation
yc <- ycinter(p = p, matsin = u, matsout = t,
method="SV", typeres="prices")
ycsummary(yc)
#Smith-Wilson interpolation
yc <- ycinter(p = p, matsin = u, matsout = t,
method="SW", typeres="rates")
ycsummary(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
Residuals:
Min. 1st Qu. Median Mean 3rd Qu. Max.
0 0 0 0 0 0
Coefficients:
NA
Total sum of squares:
0.0006433808
with 29 degrees of freedom
Explained sum of squares:
0.0006433808
with 0 degrees of freedom
Residual sum of squares:
0
with 29 degrees of freedom
Multiple R-squared * Adjusted R-squared
1 * 1
F-statistic: Inf on 29 and 0 degrees of freedom, p-value: NaN
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Residuals:
Min. 1st Qu. Median Mean 3rd Qu. Max.
-2.262e-03 -8.701e-04 -5.783e-05 0.000e+00 9.585e-04 1.652e-03
Coefficients:
0.02983522 0.002110269 -0.06247512 0.9659396
Total sum of squares:
0.0006433808
with 29 degrees of freedom
Explained sum of squares:
0.0006044614
with 3 degrees of freedom
Residual sum of squares:
3.891942e-05
with 26 degrees of freedom
Multiple R-squared * Adjusted R-squared
0.939508 * 0.9325281
F-statistic: 134.6029 on 26 and 3 degrees of freedom, p-value: 0.9990966
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Residuals:
Min. 1st Qu. Median Mean 3rd Qu. Max.
-1.493e-03 -7.112e-04 -4.867e-05 2.400e-06 5.118e-04 1.930e-03
Coefficients:
0.0167491 0.0007332705 -0.05879449 0.07261618 2.631427 6
Total sum of squares:
0.5390953
with 29 degrees of freedom
Explained sum of squares:
0.539073
with 5 degrees of freedom
Residual sum of squares:
2.229154e-05
with 24 degrees of freedom
Multiple R-squared * Adjusted R-squared
0.9999587 * 0.99995
F-statistic: 116077.7 on 24 and 5 degrees of freedom, p-value: 1
Residuals:
Min. 1st Qu. Median Mean 3rd Qu. Max.
9.812e-13 1.539e-12 2.233e-12 2.081e-12 2.636e-12 2.797e-12
Coefficients:
0.1 -16.27931 9.201802 2.29136 0.5161016 1.503706 -1.322325 -2.502516 1.114848 -0.873803 1.248141 0.5236537 0.2688466 -1.920069 0.9839525 -1.289441 0.0207775 1.912004 -4.485811 3.790045 -2.817423 3.673588 -3.551265 3.766333 -4.520132 1.482479 1.476094 -3.604975 6.799651 -33.04827 31.9271
Total sum of squares:
0.5390404
with 29 degrees of freedom
Explained sum of squares:
0.5390404
with 29 degrees of freedom
Residual sum of squares:
1.402434e-22
with 0 degrees of freedom
Multiple R-squared * Adjusted R-squared
1 * NaN
F-statistic: NaN on 0 and 29 degrees of freedom, p-value: NaN
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