yc_forward: Extract Forward Rates
In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

yc_forward

R Documentation

Extract Forward Rates

Description

Compute forward rates from a yield curve. Can compute either instantaneous forward rates or forward-forward rates between two tenors.

Usage

yc_forward(curve, maturities = NULL, horizon = NULL)

Arguments

`curve`	A `yc_curve` object.
`maturities`	Optional numeric vector of maturities at which to compute forward rates. If NULL, uses the curve's own maturities.
`horizon`	Optional numeric. If provided, computes the forward rate from each maturity to maturity + horizon (forward-forward rate).

Details

The instantaneous forward rate is derived as:

f(m) = r(m) + m \cdot r'(m)

Value

A data frame with columns maturity and forward_rate.

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_nelson_siegel(maturities, rates)
yc_forward(fit)
yc_forward(fit, maturities = c(1, 5, 10), horizon = 1)

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