EF: Daily Eurodollar Futures Curves
In FTSgof: White Noise and Goodness-of-Fit Tests for Functional Time Series
EF R Documentation
Daily Eurodollar Futures Curves
Description
This dataset contains daily Eurodollar futures curves from February 9, 1998 to June 5, 1998 (N=82).
A Eurodollar futures contract represents an obligation to deliver 1,000,000 USD to a bank
outside the United States at a specified time.
The Eurodollar futures curves consist of daily settlement prices for these contracts,
available at monthly delivery dates for the first six months and quarterly delivery dates
up to 10 years into the future. These curves are preprocessed using cubic splines,
following Kargin and Onatski (2008), to transform the raw data into smooth curves on
a grid of 114 equally spaced points (J=114).
Usage
data(EF)
Format
A matrix with columns representing
the daily settlement prices as observed functions.
References
Kargin V, Onatski A (2008). Curve forecasting by functional autoregression. Journal of
Multivariate Analysis, 99, 2508–2526.
FTSgof documentation built on Oct. 4, 2024, 1:06 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| EF | R Documentation |
Daily Eurodollar Futures Curves
Description
This dataset contains daily Eurodollar futures curves from February 9, 1998 to June 5, 1998 (N=82).
A Eurodollar futures contract represents an obligation to deliver 1,000,000 USD to a bank
outside the United States at a specified time.
The Eurodollar futures curves consist of daily settlement prices for these contracts,
available at monthly delivery dates for the first six months and quarterly delivery dates
up to 10 years into the future. These curves are preprocessed using cubic splines,
following Kargin and Onatski (2008), to transform the raw data into smooth curves on
a grid of 114 equally spaced points (J=114).
Usage
data(EF)
Format
A matrix with columns representing the daily settlement prices as observed functions.
References
Kargin V, Onatski A (2008). Curve forecasting by functional autoregression. Journal of Multivariate Analysis, 99, 2508–2526.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.