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.

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
InstallationInstall the latest version of this package by entering the following in R:
install.packages("YieldCurve")

Getting started

Package overview

Popular 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
See all...

All man pages Function index File listing

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

Functions

ECBYieldCurve Man page
FedYieldCurve Man page
NSrates Man page
Nelson.Siegel Man page
Srates Man page
Svensson Man page
YieldCurve Man page
YieldCurve-package Man page

Files

MD5
man
man/Svensson.Rd
man/ECBYieldCurve.Rd
man/YieldCurve-package.Rd
man/FedYieldCurve.Rd
man/Nelson.Siegel.Rd
man/Srates.Rd
man/NSrates.Rd
DESCRIPTION
inst
inst/CITATION
NAMESPACE
R
R/NSrates.R
R/Srates.R
R/beta.R
R/Svensson.R
R/Nelson.Siegel.R
data
data/ECBYieldCurve.rda
data/FedYieldCurve.rda
YieldCurve documentation built on May 19, 2017, 11:28 p.m.

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