YieldCurve: Modelling and estimation of the yield curve
Version 4.1

Modelling the yield curve with some parametric models. The models implemented are: Nelson-Siegel, Diebold-Li and Svensson. The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.

Package details

AuthorSergio Salvino Guirreri
Date of publication2013-01-30 15:15:09
MaintainerSergio Salvino Guirreri <sergioguirreri@gmail.com>
LicenseGPL (>= 2)
Version4.1
URL http://www.guirreri.host22.com
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("YieldCurve")

Try the YieldCurve package in your browser

Any scripts or data that you put into this service are public.

YieldCurve documentation built on May 30, 2017, 1:13 a.m.