yc_fit: Fit a Yield Curve

In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

Fit a Yield Curve

Description

Unified interface for fitting a yield curve using different methods. Dispatches to yc_nelson_siegel(), yc_svensson(), or yc_cubic_spline().

Usage

yc_fit(
  maturities,
  rates,
  method = c("nelson_siegel", "svensson", "cubic_spline"),
  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. Fitting method: "nelson_siegel" (default), "svensson", or "cubic_spline".
type	Character. Rate type: "zero" (default), "par", or "forward".
date	Optional Date for the curve.
...	Additional arguments passed to the fitting function.

Value

A yc_curve object.

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_fit(maturities, rates, method = "nelson_siegel")
fit

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