coeffs: Extraction of estimated coefficients

In Techtonique/ycinterextra: Yield curve or zero-coupon prices interpolation and extrapolation

Extraction of estimated coefficients

Description

Extraction of estimated coefficients obtained from interpolation or extrapolation

Usage

  coeffs(.Object)

Arguments

.Object

An S4 object created by ycinter or ycextra.

Details

This function returns the coefficients obtained from interpolation or extrapolation into a vector.

Value

A vector of estimated coefficients depending on the method used in ycinter or ycextra

Author(s)

Thierry Moudiki

See Also

ycsummary

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

 coeffs(yc)

Techtonique/ycinterextra documentation built on Nov. 22, 2023, 9:10 p.m.