Man pages for FinYang/ycevo
Non-Parametric Estimation of the Yield Curve Evolution

calc_cf_slistCreate a list of sparse matrices to represent cash flows
calc_day_idxProvide indices in relation to time grids
calc_dbarA component of the 'estimate_yield' function that calculates...
calc_hhat_numA component of the 'estimate_yield' function that calculates...
calc_price_slistCreate a bond price list from the data
calc_r_windowWeights interest rate grid
calc_tupq_idxProvide indices in relation to time-to-maturity grids
calc_uu_windowWeights time grid
calc_ux_windowWeights time to maturity grid
create_xgrid_hxAutomatic selection of xgrid and hx values
dhat_varEstimate variances for each point on the discount function...
DTB3Daily interest rates from 4/1/1954 to 28/12/2018
epakerepaker kernel function
estimate_yieldEstimate yield function
generate_yieldGenerate a yield curve with cubic time evolution
importsImport functions
interpolate_discountInterpolates the discount rates resulting from estimate_yield
interpolate_ugridOne dimensional interpolation over ugrid
interpolate_ugrid_rgridTwo dimensional interpolation method
num_pointsCalculates the number of payments in each qgrid
num_points_matCalculates number of bonds that mature in each qgrid
simulate_dataSimulates fake data used in the vignette
USbondsCRSP US Bond Dataset from 02/01/2007 to 31/12/2007
vignette_yieldResults of the estimate_yield loop in the vignette
ycevoEstimation of Yield Curve Dynamics
FinYang/ycevo documentation built on Dec. 3, 2019, 4:20 p.m.