forwardrates: Forward rates extraction

In Techtonique/esgtoolkit: Toolkit for Monte Carlo Simulations

Forward rates extraction

Description

This function extracts the forward rates from the results obtained with ycinter and ycextra

Usage

  forwardrates(.Object)

Arguments

.Object

An S4 object created by ycinter or ycextra.

Value

A time series object giving the instantaneous forward rates for methods "NS", "SV" and the forward rates for methods "HCSPL", "SW"

Author(s)

Thierry Moudiki

See Also

ycinter, ycextra

Examples

# Prices
 p <- c(0.9859794,0.9744879,0.9602458,0.9416551,0.9196671,0.8957363,0.8716268,0.8482628,
 0.8255457,0.8034710,0.7819525,0.7612204,0.7416912,0.7237042,0.7072136
 ,0.6922140,0.6785227,0.6660095,0.6546902,0.6441639,0.6343366,0.6250234,0.6162910,0.6080358,
 0.6003302,0.5929791,0.5858711,0.5789852,0.5722068,0.5653231)

 # Observed maturities
 u <- 1:30

 # Output maturities
 t <- seq(from = 1, to = 60, by = 0.5)

 # Svensson interpolation
 yc <- ycextra(p = p, matsin = u, matsout = t,
 method="SV", typeres="prices", UFR = 0.018)

 plot(forwardrates(yc))

Techtonique/esgtoolkit documentation built on April 13, 2025, 5:42 p.m.