Introduction to R for Quantitative Finance

Summary

In this chapter, we discussed term structure estimation methods by cubic spline regression and also demonstrated how one can estimate the term structure of interest rates in R. After a brief theoretical introduction to term structure and interest rates, also discussing the most basic methods such as a linear regression model and related problems, the chapter gave a detailed overview of an R implementation of cubic spline regression model and also mentioned already published R functions and packages for such tasks with more complex expectations.