Interpolate rates at arbitrary maturities from an observed or fitted
yield curve.
Usage
yc_interpolate(curve, maturities, method = c("linear", "log_linear", "cubic"))
Arguments
- curve
A yc_curve object.
- maturities
Numeric vector of maturities at which to interpolate.
- method
Character. Interpolation method: "linear" (default),
"log_linear", or "cubic".
Value
A data frame with columns maturity and rate.
Examples
maturities <- c(1, 2, 5, 10, 30)
rates <- c(0.045, 0.043, 0.042, 0.040, 0.043)
curve <- yc_curve(maturities, rates)
yc_interpolate(curve, c(3, 7, 15, 20))
#> maturity rate
#> 1 3 0.04266667
#> 2 7 0.04120000
#> 3 15 0.04075000
#> 4 20 0.04150000