YieldCurve: Modelling and estimation of the yield curve

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
MaintainerSergio Salvino Guirreri <sergioguirreri@gmail.com>
LicenseGPL (>= 2)
URL http://www.guirreri.host22.com
Package repositoryView on CRAN
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YieldCurve documentation built on May 2, 2019, 9:47 a.m.