I am new to R so please keep that in mind :) I am currently using package 'ycinterextra' and interpolating yield curve with several methods. For example,
maturity<- c(1,2,5,10)
yield<- c(0.39,0.61,1.66,2.58)
t<-seq(from=min(maturity), to=max(maturity), by=0.01)
yc <- ycinter(yM = yield, matsin = maturity, matsout = t, method="SW",typeres="rates")
fitted(yc)
I know how to get fitted(yc), but I don't know how to get one value for specific maturity. for example if I am interested in 4-year yield or 1.5-year yield? What I need is just one value that correspond to specific t (any).
Thansk in advance!
Not sure if I understood correctly and very old question, but here is what I think you should do. Simply match your value from t
and find it from fitted values.
as.numeric(fitted(yc))[match(4.5,t)]
[1] 1.460163
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