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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.
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Package details |
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| Author | Oleksandr Castello [aut, cre] Marina Resta [ctb, cre] |
| Maintainer | Oleksandr Castello <alexander-castello@libero.it> |
| License | GPL (>= 2) |
| Version | 0.1.0 |
| Package repository | View on CRAN |
| Installation |
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