Construct a yc_curve object from observed maturity-rate pairs. This is
the core data structure used throughout the package.
Usage
yc_curve(maturities, rates, type = c("zero", "par", "forward"), date = NULL)Arguments
- maturities
Numeric vector of maturities in years (e.g., 0.25 for 3 months, 2 for 2 years).
- rates
Numeric vector of yields as decimals (e.g., 0.05 for 5\ Must be the same length as
maturities.- type
Character. The type of rate:
"zero"(default),"par", or"forward".- date
Optional Date for the curve observation.
Value
A yc_curve object (S3 class) with components:
- maturities
Numeric vector of maturities in years.
- rates
Numeric vector of rates as decimals.
- type
Character string indicating rate type.
- method
Character string indicating fitting method.
- params
List of model parameters (empty for observed curves).
- fitted
Numeric vector of fitted rates (NULL for observed curves).
- residuals
Numeric vector of residuals (NULL for observed curves).
- date
Date of the curve observation.
- n_obs
Integer count of maturity points.
Examples
# US Treasury yields (2Y, 5Y, 10Y, 30Y)
maturities <- c(2, 5, 10, 30)
rates <- c(0.045, 0.042, 0.040, 0.043)
curve <- yc_curve(maturities, rates)
curve
#>
#> ── Yield Curve (Observed) ──────────────────────────────────────────────────────
#> • Type: "zero"
#> • Maturities: 4 (2Y to 30Y)
#> • Rate range: 4% to 4.5%