R/approx_extrap.R

In veldanie/SuraStructuredNotes: Sura Asset Management Structured Products

approx_extrap=function (x, y, xout, method = "linear", n = 50, rule = 2, f = 0,
                        ties = "ordered", na.rm = FALSE){
  if (is.list(x)) {
    y = x[[2]]
    x = x[[1]]
  }
  if (na.rm) {
    d = !is.na(x + y)
    x = x[d]
    y = y[d]
  }
  d = !duplicated(x)
  x = x[d]
  y = y[d]
  d = order(x)
  x = x[d]
  y = y[d]
  w = approx(x, y, xout = xout, method = method, n = n, rule = 2,
             f = f, ties = ties)$y
  r = range(x)
  d = xout < r[1]
  if (any(is.na(d)))
    stop("NAs not allowed in xout")
  if (any(d))
    w[d] = (y[2] - y[1])/(x[2] - x[1]) * (xout[d] - x[1]) +
    y[1]
  d = xout > r[2]
  n = length(y)
  if (any(d))
    w[d] = (y[n] - y[n - 1])/(x[n] - x[n - 1]) * (xout[d] -
                                                    x[n - 1]) + y[n - 1]
  list(x = xout, y = w)
}