ycinterextra-package: Yield curve or zero-coupon prices interpolation and...

In ycinterextra: Yield curve or zero-coupon prices interpolation and extrapolation

Description

Yield curve or zero-coupon prices interpolation and extrapolation using the Nelson-Siegel, Svensson, Smith-Wilson models, and Hermite cubic splines.

Details

Package:	ycinterextra
Type:	Package
Version:	0.1
Date:	2013-12-18
License:	GPL-2 | GPL-3

Author(s)

Thierry Moudiki Maintainer: <[e-mail]>

References

Bolder, D. and Streliski, D. (1999). Yield curve modelling at the bank of canada. Available at SSRN 1082845.

CEIOPS (2010). Qis 5 risk-free interest rates extrapolation method. Technical report, CEIOPS.

FINANSTILSYNET (2010). A technical note on the Smith-Wilson method.

Gilli, M., Grosse, S., and Schumann, E. (2010). Calibrating the Nelson-Siegel Svensson model. Available at SSRN 1676747.

Moudiki, T. (2013). mcGlobaloptim : Global optimization using Monte Carlo and Quasi Monte Carlo simulation. R package version 0.1. Available on CRAN.

Nelson, C. R. and Siegel, A. F. (1987). Parsimonious modeling of yield curves. Journal of Business, pages 473-489.

Smith, A. and Wilson, T. (2001). Fitting yield curves with long term constraints. Technical report, Bacon & Woodrow. Research Notes, Bacon and Woodrow.

Svensson, L. E. (1995). Estimating forward interest rates with the extended Nelson & Siegel method. Sveriges Riksbank Quarterly Review, 3(1) :13-26.

ycinterextra documentation built on May 1, 2019, 8:02 p.m.