| interpolation-constructor {fixedincome} | R Documentation |
Create Interpolation objects
Description
Functions to create intepolation objects.
Usage
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)
Arguments
beta1 |
a single numeric |
beta2 |
a single numeric |
beta3 |
a single numeric |
lambda1 |
a single numeric |
beta4 |
a single numeric |
lambda2 |
a single numeric |
Details
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.
Value
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.
References
Charles R. Nelson and Andrew F. Siegel (1987), The Journal of Business
Lars E.O. Svensson (1994), National Bureau of Economic Research
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")
interpolation(curve) <- interp_flatforward()
curve[[1:10]]