interpolate.ZeroCurve: Interpolate a 'ZeroCurve'

In imanuelcostigan/fmbasics: Financial Market Building Blocks

Description

There are two key interpolation schemes available in the stats package: constant and linear interpolation via stats::approxfun() and spline interpolation via stats::splinefun(). The interpolate() method is a simple wrapper around these methods that are useful for the purposes of interpolation financial market objects like zero coupon interest rate curves.

Usage

## S3 method for class 'ZeroCurve'
interpolate(x, at, ...)

Arguments

x	a ZeroCurve object
at	a non-negative numeric vector representing the years at which to interpolate the zero curve
...	unused in this method

Value

a numeric vector of zero rates (continuously compounded, act/365)

See Also

Other interpolate functions: interpolate.CreditCurve, interpolate.VolSurface, interpolate_dfs.CreditCurve, interpolate_zeros.CreditCurve, interpolate

Examples

zc <- build_zero_curve(LogDFInterpolation())
interpolate(zc, c(1.5, 3))

imanuelcostigan/fmbasics documentation built on Dec. 6, 2019, 9:48 a.m.