yc_level_slope_curvature: Extract Level, Slope, and Curvature Factors
In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

yc_level_slope_curvature

R Documentation

Extract Level, Slope, and Curvature Factors

Description

For Nelson-Siegel or Svensson curves, extracts the estimated factors directly from the model parameters. For other curves, computes empirical measures.

Usage

yc_level_slope_curvature(curve)

Arguments

curve

A yc_curve object.

Value

A named list with:

level: Long-run level (beta0 for NS/Svensson, or mean rate).
slope: Slope factor (beta1 for NS/Svensson, or short - long rate).
curvature: Curvature factor (beta2 for NS/Svensson, or 2*mid - short - long 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_level_slope_curvature(fit)

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