Functions to create intepolation objects.
interp_flatforward()
interp_linear()
interp_loglinear()
interp_naturalspline()
interp_hermitespline()
interp_monotonespline()
interp_nelsonsiegel(beta1, beta2, beta3, lambda1)
interp_nelsonsiegelsvensson(beta1, beta2, beta3, beta4, lambda1, lambda2)a single numeric
a single numeric
a single numeric
a single numeric
a single numeric
a single numeric
An Interpolation object.
That object knows the interpolation method but doesn't have the data
points.
When the Interpolation is set to the curve with interpolation<-
the interpolation engine is properly configured.
interp_flatforward creates a FlatForward interpolation object.
interp_linear creates a Linear interpolation object.
interp_loglinear creates a LogLinear interpolation object.
interp_naturalspline creates a NaturalSpline interpolation object.
interp_hermitespline creates a HermiteSpline interpolation object.
interp_monotonespline creates a MonotoneSpline interpolation object.
interp_nelsonsiegel creates a NelsonSiegel interpolation object.
The arguments beta1, beta2, beta3, lambda1 are the paremeters of
the Nelson-Siegel model for term structure.
interp_nelsonsiegelsvensson creates a NelsonSiegelSvensson
interpolation object.
The arguments beta1, beta2, beta3, beta4, lambda1, lambda2 are
the paremeters of Svensson's extension to Nelson-Siegel the model for
term structure.
Charles R. Nelson and Andrew F. Siegel (1987), The Journal of Business
Lars E.O. Svensson (1994), National Bureau of Economic Research
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")
interpolation(curve) <- interp_flatforward()
curve[[1:10]]
#> SpotRateCurve
#> 1 day 0.07190
#> 2 days 0.06313
#> 3 days 0.06022
#> 4 days 0.05877
#> 5 days 0.05790
#> 6 days 0.05732
#> 7 days 0.05690
#> 8 days 0.05659
#> 9 days 0.05635
#> 10 days 0.05616
#> discrete actual/365 actual
#> Reference date: 2023-06-27