Fit a Yield Curve — yc_fit • yieldcurves

Unified interface for fitting a yield curve using different methods. Dispatches to yc_nelson_siegel(), yc_svensson(), or yc_cubic_spline().

Usage

yc_fit(
  maturities,
  rates,
  method = c("nelson_siegel", "svensson", "cubic_spline"),
  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. Fitting method: "nelson_siegel" (default), "svensson", or "cubic_spline".
type: Character. Rate type: "zero" (default), "par", or "forward".
date: Optional Date for the curve.
...: Additional arguments passed to the fitting function.

Value

A yc_curve object.

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_fit(maturities, rates, method = "nelson_siegel")
fit
#> 
#> ── Yield Curve (Nelson-Siegel) ─────────────────────────────────────────────────
#> • Type: "zero"
#> • Maturities: 7 (0.25Y to 30Y)
#> • Rate range: 4% to 5.2%
#> • RMSE: "4.7" bps
#> • Parameters: beta0=0.04444, beta1=0.00837, beta2=-0.02454, tau=3