test_that("yc_svensson fits a curve", { d <- make_us_yields() fit <- yc_svensson(d$maturities, d$rates) expect_s3_class(fit, "yc_curve") expect_equal(fit$method, "svensson") expect_true(all(c("beta0", "beta1", "beta2", "beta3", "tau1", "tau2") %in% names(fit$params))) }) test_that("yc_svensson fits at least as well as nelson_siegel", { d <- make_us_yields() ns_fit <- yc_nelson_siegel(d$maturities, d$rates) sv_fit <- yc_svensson(d$maturities, d$rates) ns_rmse <- sqrt(mean(ns_fit$residuals^2)) sv_rmse <- sqrt(mean(sv_fit$residuals^2)) # Svensson has more parameters, should fit at least as well expect_true(sv_rmse <= ns_rmse + 1e-6) }) test_that("yc_svensson warns with fewer than 6 points", { expect_warning( yc_svensson(c(1, 2, 5, 10), c(0.04, 0.042, 0.043, 0.045)), "fewer than 6" ) }) test_that("yc_svensson known-value recovery", { # Generate synthetic data from known Svensson parameters beta0 <- 0.06 beta1 <- -0.02 beta2 <- 0.01 beta3 <- -0.005 tau1 <- 2 tau2 <- 5 m <- c(0.25, 0.5, 1, 2, 3, 5, 7, 10, 20, 30) # Svensson formula f1 <- (1 - exp(-m / tau1)) / (m / tau1) f2 <- f1 - exp(-m / tau1) f3 <- (1 - exp(-m / tau2)) / (m / tau2) - exp(-m / tau2) synthetic_rates <- beta0 + beta1 * f1 + beta2 * f2 + beta3 * f3 fit <- yc_svensson(m, synthetic_rates, tau1_init = 2, tau2_init = 5) rmse <- sqrt(mean(fit$residuals^2)) expect_true(rmse < 0.001) }) test_that("yc_svensson handles negative rates", { m <- c(0.5, 1, 2, 5, 7, 10, 20, 30) rates <- c(-0.005, -0.004, -0.003, -0.001, 0.001, 0.003, 0.005, 0.006) fit <- yc_svensson(m, rates) expect_s3_class(fit, "yc_curve") rmse <- sqrt(mean(fit$residuals^2)) expect_true(rmse < 0.005) }) test_that("yc_svensson rejects bad inputs", { expect_error(yc_svensson("a", 0.04), "numeric") expect_error(yc_svensson(c(1, 2), c(0.04, 0.05), tau1_init = -1), "positive") expect_error(yc_svensson(c(1, 2), c(0.04, 0.05), tau2_init = 0), "positive") })