Extract Forward Rates

Compute forward rates from a yield curve. Can compute either instantaneous forward rates or forward-forward rates between two tenors.

Usage

yc_forward(curve, maturities = NULL, horizon = NULL)

Arguments

curve

A yc_curve object.

maturities

Optional numeric vector of maturities at which to compute forward rates. If NULL, uses the curve's own maturities.

horizon

Optional numeric. If provided, computes the forward rate from each maturity to maturity + horizon (forward-forward rate).

Value

A data frame with columns maturity and forward_rate.

Details

The instantaneous forward rate is derived as: $$f(m) = r(m) + m \cdot r'(m)$$

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_nelson_siegel(maturities, rates)
yc_forward(fit)
#>   maturity forward_rate
#> 1     0.25   0.05025837
#> 2     0.50   0.04806223
#> 3     1.00   0.04457581
#> 4     2.00   0.04033815
#> 5     5.00   0.03829762
#> 6    10.00   0.04182315
#> 7    30.00   0.04443227
yc_forward(fit, maturities = c(1, 5, 10), horizon = 1)
#>   maturity forward_rate
#> 1        1   0.04220179
#> 2        5   0.03859638
#> 3       10   0.04209786