Man pages for FinYang/ycevo
Non-Parametric Estimation of the Yield Curve Evolution
| calc_cf_slist | Create a list of sparse matrices to represent cash flows |
| calc_day_idx | Provide indices in relation to time grids |
| calc_dbar | A component of the 'estimate_yield' function that calculates... |
| calc_hhat_num | A component of the 'estimate_yield' function that calculates... |
| calc_price_slist | Create a bond price list from the data |
| calc_r_window | Weights interest rate grid |
| calc_tupq_idx | Provide indices in relation to time-to-maturity grids |
| calc_uu_window | Weights time grid |
| calc_ux_window | Weights time to maturity grid |
| create_xgrid_hx | Automatic selection of xgrid and hx values |
| dhat_var | Estimate variances for each point on the discount function... |
| DTB3 | Daily interest rates from 4/1/1954 to 28/12/2018 |
| epaker | epaker kernel function |
| estimate_yield | Estimate yield function |
| generate_yield | Generate a yield curve with cubic time evolution |
| imports | Import functions |
| interpolate_discount | Interpolates the discount rates resulting from estimate_yield |
| interpolate_ugrid | One dimensional interpolation over ugrid |
| interpolate_ugrid_rgrid | Two dimensional interpolation method |
| num_points | Calculates the number of payments in each qgrid |
| num_points_mat | Calculates number of bonds that mature in each qgrid |
| simulate_data | Simulates fake data used in the vignette |
| USbonds | CRSP US Bond Dataset from 02/01/2007 to 31/12/2007 |
| vignette_yield | Results of the estimate_yield loop in the vignette |
| ycevo | Estimation of Yield Curve Dynamics |
