There are two key interpolation schemes available in the stats package:
constant and linear interpolation via stats::approxfun() and
spline interpolation via stats::splinefun(). The interpolate() method
is a simple wrapper around these methods that are useful for the purposes
of interpolation financial market objects like zero coupon interest rate
curves.
Usage
# S3 method for ZeroCurve
interpolate(x, at, ...)
Arguments
x
a ZeroCurve object
at
a non-negative numeric vector representing the years at which to
interpolate the zero curve
...
unused in this method
Value
a numeric vector of zero rates (continuously compounded, act/365)