yc_slope: Yield Curve Slope Measures

In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

Yield Curve Slope Measures

Description

Compute common slope and curvature measures from a yield curve.

Usage

yc_slope(curve)

Arguments

curve

A yc_curve object.

Value

A named list with slope measures:

spread_2s10s

10-year minus 2-year rate (the most common slope measure).

spread_2s30s

30-year minus 2-year rate.

spread_5s30s

30-year minus 5-year rate.

spread_3m10y

10-year minus 3-month rate (term premium proxy).

butterfly_2s5s10s

2 * 5-year minus 2-year minus 10-year (curvature measure).

Returns NA for any measure whose required tenors fall outside the curve range.

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_slope(fit)

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