DeRezende.Ferreira: Zero Coupon Yield Curve Modelling

Modeling the zero coupon yield curve using the dynamic De Rezende and Ferreira (2011) <doi:10.1002/for.1256> five factor model with variable or fixed decaying parameters. For explanatory purposes, the package also includes various short datasets of interest rates for the BRICS countries.

Getting started

Package details

AuthorOleksandr Castello [aut, cre] Marina Resta [ctb, cre]
MaintainerOleksandr Castello <[email protected]>
LicenseGPL (>= 2)
Version0.1.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("DeRezende.Ferreira")

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DeRezende.Ferreira documentation built on May 2, 2019, 10:15 a.m.