yc_cubic_spline: Fit Cubic Spline Yield Curve

In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

Fit Cubic Spline Yield Curve

Description

Fit a yield curve using cubic spline interpolation. Provides an exact fit through all observed data points with smooth interpolation between them.

Usage

yc_cubic_spline(
  maturities,
  rates,
  method = c("natural", "fmm"),
  type = c("zero", "par", "forward"),
  date = NULL
)

Arguments

maturities	Numeric vector of maturities in years.
rates	Numeric vector of observed yields as decimals.
method	Character. Spline method: "natural" (default) or "fmm" (Forsythe, Malcolm, and Moler).
type	Character. Rate type: "zero" (default), "par", or "forward".
date	Optional Date for the curve.

Value

A yc_curve object with method = "cubic_spline".

Examples

maturities <- c(0.25, 0.5, 1, 2, 5, 10, 30)
rates <- c(0.052, 0.050, 0.048, 0.045, 0.042, 0.040, 0.043)
fit <- yc_cubic_spline(maturities, rates)
fit

yieldcurves documentation built on March 26, 2026, 5:06 p.m.