Compute common slope and curvature measures from a yield curve.
Value
A named list with slope measures:
- spread_2s10s
10-year minus 2-year rate (the most common slope measure).
- spread_2s30s
30-year minus 2-year rate.
- spread_5s30s
30-year minus 5-year rate.
- spread_3m10y
10-year minus 3-month rate (term premium proxy).
- butterfly_2s5s10s
2 * 5-year minus 2-year minus 10-year (curvature measure).
Returns NA for any measure whose required tenors fall outside the curve range.
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_slope(fit)
#> $spread_2s10s
#> [1] -0.004597924
#>
#> $spread_2s30s
#> [1] -0.002410197
#>
#> $spread_5s30s
#> [1] 0.001620633
#>
#> $spread_3m10y
#> [1] -0.01086337
#>
#> $butterfly_2s5s10s
#> [1] -0.003463737
#>