YieldCurve-package | R Documentation |
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: | YieldCurve |
Type: | Package |
Version: | 5 |
Date: | 2022-09-30 |
License: | GPL (>= 2) |
LazyLoad: | yes |
DieboldLi
Sergio Salvino Guirreri
Maintainer: Sergio Salvino Guirreri <sergioguirreri@gmail.com>
Diebold, F.X. and Li, C. (2006), Forecasting the Term Structure of Government Bond Yields, Journal of Econometrics, 130, 337-364.
Diebold, F.X., Ji, L. and Li, C. (2006), A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration, in L.R. Klein (ed.), Long-Run Growth and Short-Run Stabilization: Essays in Memory of Albert Ando. Cheltenham, U.K.: Edward Elgar, 240-274.
Nelson, C.R., and A.F. Siegel (1987), Parsimonious Modeling of Yield Curve, The Journal of Business, 60, 473-489.
Svensson, L.E. (1994), Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994, IMF Working Paper, WP/94/114.
### Nelson.Siegel function and Fed data-set ### data(FedYieldCurve) rate.Fed = first(FedYieldCurve,'5 month') maturity.Fed <- c(3/12, 0.5, 1,2,3,5,7,10) NSParameters <- Nelson.Siegel( rate= rate.Fed, maturity=maturity.Fed ) y <- NSrates(NSParameters[5,], maturity.Fed) plot(maturity.Fed,rate.Fed[5,],main="Fitting Nelson-Siegel yield curve", type="o") lines(maturity.Fed,y, col=2) legend("topleft",legend=c("observed yield curve","fitted yield curve"), col=c(1,2),lty=1) ### Svensson function and ECB data-set ### data(ECBYieldCurve) rate.ECB = ECBYieldCurve[1:5,] maturity.ECB = c(0.25,0.5,seq(1,30,by=1)) SvenssonParameters <- Svensson(rate.ECB, maturity.ECB) Svensson.rate <- Srates( SvenssonParameters ,maturity.ECB,"Spot") plot(maturity.ECB, rate.ECB[5,],main="Fitting Svensson yield curve", type="o") lines(maturity.ECB, Svensson.rate[5,], col=2) legend("topleft",legend=c("observed yield curve","fitted yield curve"), col=c(1,2),lty=1)
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