Fit Cubic Spline Yield Curve — yc_cubic_spline • yieldcurves

Fit a yield curve using cubic spline interpolation. Provides an exact fit through all observed data points with smooth interpolation between them.

Usage

yc_cubic_spline(
  maturities,
  rates,
  method = c("natural", "fmm"),
  type = c("zero", "par", "forward"),
  date = NULL
)

Arguments

maturities: Numeric vector of maturities in years.
rates: Numeric vector of observed yields as decimals.
method: Character. Spline method: "natural" (default) or "fmm" (Forsythe, Malcolm, and Moler).
type: Character. Rate type: "zero" (default), "par", or "forward".
date: Optional Date for the curve.

Value

A yc_curve object with method = "cubic_spline".

Examples

maturities <- c(0.25, 0.5, 1, 2, 5, 10, 30)
rates <- c(0.052, 0.050, 0.048, 0.045, 0.042, 0.040, 0.043)
fit <- yc_cubic_spline(maturities, rates)
fit
#> 
#> ── Yield Curve (Cubic Spline) ──────────────────────────────────────────────────
#> • Type: "zero"
#> • Maturities: 7 (0.25Y to 30Y)
#> • Rate range: 4% to 5.2%
#> • RMSE: "0" bps