This function extracts the residuals sum ot the model
after the intepolation. When extrapolation is carried
out, the function uses the values observed in the liquid
part of the curve
Value
A time series object giving the residuals
Author(s)
Thierry Moudiki
See Also
ycsummary
Examples
# Prices
p <- c(0.9859794,0.9744879,0.9602458,0.9416551,0.9196671,0.8957363,0.8716268,0.8482628,
0.8255457,0.8034710,0.7819525,0.7612204,0.7416912,0.7237042,0.7072136
,0.6922140,0.6785227,0.6660095,0.6546902,0.6441639,0.6343366,0.6250234,0.6162910,0.6080358,
0.6003302,0.5929791,0.5858711,0.5789852,0.5722068,0.5653231)
# Observed maturities
u <- 1:30
# Output maturities
t <- seq(from = 1, to = 30, by = 0.5)
# Svensson interpolation
yc <- ycinter(p = p, matsin = u, matsout = t,
method="SW", typeres="prices")
residuals(yc)