YieldCurve: Modelling and estimation of the yield curve

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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.

Author
Sergio Salvino Guirreri
Date of publication
2013-01-30 15:15:09
Maintainer
Sergio Salvino Guirreri <sergioguirreri@gmail.com>
License
GPL (>= 2)
Version
4.1
URLs

View on CRAN

Man pages

ECBYieldCurve
Yield curve data spot rate, AAA-rated bonds, maturities from...
FedYieldCurve
Federal Reserve interest rates
Nelson.Siegel
Estimation of the Nelson-Siegel parameters
NSrates
Interest rates of the Nelson-Siegel's model.
Srates
Interest rates of the Svensson's model.
Svensson
Estimation of the Svensson parameters
YieldCurve-package
Modelling and estimation of the yield curve

Files in this package

YieldCurve
YieldCurve/MD5
YieldCurve/man
YieldCurve/man/Svensson.Rd
YieldCurve/man/ECBYieldCurve.Rd
YieldCurve/man/YieldCurve-package.Rd
YieldCurve/man/FedYieldCurve.Rd
YieldCurve/man/Nelson.Siegel.Rd
YieldCurve/man/Srates.Rd
YieldCurve/man/NSrates.Rd
YieldCurve/DESCRIPTION
YieldCurve/inst
YieldCurve/inst/CITATION
YieldCurve/NAMESPACE
YieldCurve/R
YieldCurve/R/NSrates.R
YieldCurve/R/Srates.R
YieldCurve/R/beta.R
YieldCurve/R/Svensson.R
YieldCurve/R/Nelson.Siegel.R
YieldCurve/data
YieldCurve/data/ECBYieldCurve.rda
YieldCurve/data/FedYieldCurve.rda