ycplot: Diagnostic plot

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

Description

Draw some diagnostic plots from the results obtained with ycinter and ycextra

Usage

  ycplot(.Object)

Arguments

.Object

An S4 object created by ycinter or ycextra.

Author(s)

Thierry Moudiki

See Also

ycinter, ycextra

Examples

# 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")

 ycplot(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

ycinterextra documentation built on May 1, 2019, 8:02 p.m.