Description Usage Format Source References Examples
The term.structure
data frame has 117
observations on the prices of U.S. STRIPS
(Separate Trading on Registered Interest and
Principal of Securities) on December 31, 1995.
1 |
This data frame contains the following columns:
time in years between 31st December, 1995, and the date on which the STRIPS matures.
price of the STRIPS as a percent of par.
University of Houston Fixed Income Database.
Jarrow, R., Ruppert, D., and Yu, Y. (2004). Estimating the term structure of corporate debt with a semiparametric penalized spline model, Journal of the American Statistical Association, 99, 57-66.
Ruppert, D., Wand, M.P. and Carroll, R.J. (2003)
Semiparametric Regression Cambridge University Press.
http//stat.tamu.edu/~carroll/semiregbook/
1 2 3 4 | library(SemiPar)
data(term.structure)
attach(term.structure)
plot(time.to.maturity,price)
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