Help with interpolation
Next time please provide sample data in a form we can easily read in (look at ?dput for example)
If i understand this right:
yourData<-read.table(header=T,text="
date days rate
1996_01_02 15 5.74590
1996_01_02 50 5.67332
1996_01_02 78 5.60888
1996_01_02 169 5.47376
1996_01_02 260 5.35267
1996_01_02 351 5.27619
1996_01_03 14 5.74740
1996_01_03 49 5.67226
1996_01_03 77 5.60371
1996_01_03 168 5.47058
1996_01_03 259 5.34662
1996_01_03 350 5.26630
")
results<-sapply(unique(yourData$date),function(thisDate){
subSet <- yourData[yourData$date==thisDate,]
appr<-approx(subSet$days,subSet$rate,xout=seq(0,360, by=30))
rates<-appr$y
names(rates)<-appr$x
rates
})
colnames(results)<-unique(yourData$date)
This gives 13 results per date though, and it can't interpolate the first and last value. If you need those values that are not in-between, try spline instead of approx (you never specified how you wanted to interpolate).
On 17.01.2013, at 15:50, beanbandit wrote:
hi guys I need to interpolate values for the zero coupon yield curve. Following data is given date days rate 1996 01 02 15 5.74590 1996 01 02 50 5.67332 1996 01 02 78 5.60888 1996 01 02 169 5.47376 1996 01 02 260 5.35267 1996 01 02 351 5.27619 1996 01 03 14 5.74740 1996 01 03 49 5.67226 1996 01 03 77 5.60371 1996 01 03 168 5.47058 1996 01 03 259 5.34662 1996 01 03 350 5.26630 For every day i have to interpolate 10 values, for example for maturities of 30,60 or 90 days. I have interpolate data for a one year period, 10 interpolation values a day, so that equals 3600 values. what's the easiest way to implement this in R? please hlep! -- View this message in context: http://r.789695.n4.nabble.com/Help-with-interpolation-tp4655843.html Sent from the R help mailing list archive at Nabble.com.
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