yc_curve: Create a Yield Curve Object

In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

Create a Yield Curve Object

Description

Construct a yc_curve object from observed maturity-rate pairs. This is the core data structure used throughout the package.

Usage

yc_curve(maturities, rates, type = c("zero", "par", "forward"), date = NULL)

Arguments

maturities	Numeric vector of maturities in years (e.g., 0.25 for 3 months, 2 for 2 years).
rates	Numeric vector of yields as decimals (e.g., 0.05 for 5\ Must be the same length as maturities.
type	Character. The type of rate: "zero" (default), "par", or "forward".
date	Optional Date for the curve observation.

Value

A yc_curve object (S3 class) with components:

maturities

Numeric vector of maturities in years.

rates

Numeric vector of rates as decimals.

type

Character string indicating rate type.

method

Character string indicating fitting method.

params

List of model parameters (empty for observed curves).

fitted

Numeric vector of fitted rates (NULL for observed curves).

residuals

Numeric vector of residuals (NULL for observed curves).

date

Date of the curve observation.

n_obs

Integer count of maturity points.

Examples

# US Treasury yields (2Y, 5Y, 10Y, 30Y)
maturities <- c(2, 5, 10, 30)
rates <- c(0.045, 0.042, 0.040, 0.043)
curve <- yc_curve(maturities, rates)
curve

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