For Nelson-Siegel or Svensson curves, extracts the estimated factors directly from the model parameters. For other curves, computes empirical measures.
Value
A named list with:
- level
Long-run level (beta0 for NS/Svensson, or mean rate).
- slope
Slope factor (beta1 for NS/Svensson, or short - long rate).
- curvature
Curvature factor (beta2 for NS/Svensson, or 2*mid - short - long rate).
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_level_slope_curvature(fit)
#> $level
#> [1] 0.04444303
#>
#> $slope
#> [1] 0.008365845
#>
#> $curvature
#> [1] -0.02454161
#>