Description Details Author(s) References
Yield curve or zero-coupon prices interpolation and extrapolation using the Nelson-Siegel, Svensson, Smith-Wilson models, and Hermite cubic splines.
Package: | ycinterextra |
Type: | Package |
Version: | 0.1 |
Date: | 2013-12-18 |
License: | GPL-2 | GPL-3 |
Thierry Moudiki Maintainer: <thierry.moudiki@gmail.com>
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.
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