EF | R Documentation |
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
).
data(EF)
A matrix with columns representing the daily settlement prices as observed functions.
Kargin V, Onatski A (2008). Curve forecasting by functional autoregression. Journal of Multivariate Analysis, 99, 2508–2526.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.