ycinterextra (version 0.1)

forwardrates: Forward rates extraction

Description

This function extracts the forward rates from the results obtained with ycinter and ycextra

Usage

forwardrates(.Object)

Arguments

.Object

An S4 object created by ycinter or ycextra.

Value

A time series object giving the instantaneous forward rates for methods "NS", "SV" and the forward rates for methods "HCSPL", "SW"

See Also

ycinter, ycextra

Examples

# Prices
 p <- c(0.9859794,0.9744879,0.9602458,0.9416551,0.9196671,0.8957363,0.8716268,0.8482628,
 0.8255457,0.8034710,0.7819525,0.7612204,0.7416912,0.7237042,0.7072136
 ,0.6922140,0.6785227,0.6660095,0.6546902,0.6441639,0.6343366,0.6250234,0.6162910,0.6080358,
 0.6003302,0.5929791,0.5858711,0.5789852,0.5722068,0.5653231)

 # Observed maturities
 u <- 1:30

 # Output maturities
 t <- seq(from = 1, to = 60, by = 0.5)

 # Svensson interpolation
 yc <- ycextra(p = p, matsin = u, matsout = t,
 method="SV", typeres="prices", UFR = 0.018)

 plot(forwardrates(yc))