Rstudio monthly discount factor interpolation for data table

Question

How can I have a linear interpolation on the column DF in order to replace the 0 with a "weighted amount" obtained combining 0 and 0.98 for the first 11 records and 0.98 and 0.95 for the records from 13 to 23 and use 0.95 for the last two records. The idea is to have a kind of interpolation to get the monthly discount factors.

DT <- data.table(MM=c(1,2,3,4,5,6,7,8,9,10,11,12,12,14,15,16,17,18,19,20,21,22,23,24,25,26),
                    DF=c(1,0,0,0,0,0,0,0,0,0,0,0.98,0,0,0,0,0,0,0,0,0,0,0.95,0,0,0))
DT

Answer 1

Something like this, perhaps:

DT[, DF2 := approx(MM[DF > 0], DF[DF > 0], xout = MM)$y
  ][, DF2 := nafill(DF2, type = "locf")]
#        MM    DF       DF2
#     <num> <num>     <num>
#  1:     1  1.00 1.0000000
#  2:     2  0.00 0.9981818
#  3:     3  0.00 0.9963636
#  4:     4  0.00 0.9945455
#  5:     5  0.00 0.9927273
#  6:     6  0.00 0.9909091
#  7:     7  0.00 0.9890909
#  8:     8  0.00 0.9872727
#  9:     9  0.00 0.9854545
# 10:    10  0.00 0.9836364
# ---                      
# 17:    17  0.00 0.9663636
# 18:    18  0.00 0.9636364
# 19:    19  0.00 0.9609091
# 20:    20  0.00 0.9581818
# 21:    21  0.00 0.9554545
# 22:    22  0.00 0.9527273
# 23:    23  0.95 0.9500000
# 24:    24  0.00 0.9500000
# 25:    25  0.00 0.9500000
# 26:    26  0.00 0.9500000

Steps:

• the inner approx uses the MM and DF values where DF > 0, then returning interpolated values for all MM (regardless of DF > 0);
• nafill is to take your last observed value 0.95 and carry it forward for the remaining three rows