Fits parametric interpolation functions like NelsonSiegel or NelsonSiegelSvensson.
fit_interpolation(object, x, ...)a Interpolation object with initial parameters set.
a SpotRateCurve object.
additional arguments. Currently unused.
A Interpolation object.
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)
#> <Interpolation: nelsonsiegel >
#> Parameters:
#> beta1 beta2 beta3 lambda1
#> 0.145 -0.079 0.098 0.298