Inverse Call Transformation — shadow

Computes the "shadow rates" implied by the inverse call transformation.

shadow_rates(.data, .group_col, .dbl_col, .eta = 0.015, .strike = 0)

Arguments

.data	A tidy `tibble`.
.group_col	The maturities column.
.dbl_col	A column with interest rates.
.eta	A `double` with the threshold between high and low interest rates environments.
.strike	A `double` with the call strike rate. Default's to zero.

Value

A tidy tibble.

Examples

library(ggplot2)

data("us_yield_curve")

shadow <- shadow_rates(us_yield_curve, maturity, rates)

ggplot(shadow, aes(x = index, y = rates, color = maturity)) +
  geom_line()