fit_interpolation: Fit parametric interpolation functions
In wilsonfreitas/R-fixedincome: Fixed Income Models, Calculations, Data Structures and Instruments
fit_interpolation R Documentation
Fit parametric interpolation functions
Description
Fits parametric interpolation functions like NelsonSiegel or
NelsonSiegelSvensson.
Usage
fit_interpolation(object, x, ...)
Arguments
object
a Interpolation object with initial parameters set.
x
a SpotRateCurve object.
...
additional arguments. Currently unused.
Value
A Interpolation object.
Examples
terms <- c(1, 11, 26, 27, 28)
rates <- c(0.0719, 0.056, 0.0674, 0.0687, 0.07)
curve <- spotratecurve(rates, terms, "discrete", "actual/365", "actual")
fit_interpolation(interp_nelsonsiegel(0.1, 0.01, 0.01, 0.01), curve)
wilsonfreitas/R-fixedincome documentation built on June 30, 2023, 7:46 a.m.
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| fit_interpolation | R Documentation |
Fit parametric interpolation functions
Description
Fits parametric interpolation functions like NelsonSiegel or NelsonSiegelSvensson.
Usage
fit_interpolation(object, x, ...)
Arguments
object |
a Interpolation object with initial parameters set. |
x |
a SpotRateCurve object. |
... |
additional arguments. Currently unused. |
Value
A Interpolation object.
Examples
terms <- c(1, 11, 26, 27, 28)
rates <- c(0.0719, 0.056, 0.0674, 0.0687, 0.07)
curve <- spotratecurve(rates, terms, "discrete", "actual/365", "actual")
fit_interpolation(interp_nelsonsiegel(0.1, 0.01, 0.01, 0.01), curve)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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