ycsummary: Comprehensive summary

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

Description

Extracting a comprehensive summary of the results obtained from ycinter and ycextra

Usage

  ycsummary(.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")

 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. 
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: 
1.402423e-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.