params: Yield curve parameter data

In arolluom/RcmdrPlugin.RiskDemo: R Commander Plug-in for Risk Demonstration

Description

Yield curve parameters from the European Central Bank (ECB), downloaded on May 2, 2017

Usage

data("params")

Format

A data frame with 3239 observations on the following 13 variables.

date

a Date

b0

a numeric vector

b1

a numeric vector

b2

a numeric vector

b3

a numeric vector

t1

a numeric vector

t2

a numeric vector

c0

a numeric vector

c1

a numeric vector

c2

a numeric vector

c3

a numeric vector

d1

a numeric vector

d2

a numeric vector

Details

The parameters b0 to b3 are the beta-parameters, and t1 and t2 the tau-parameters for AAA-rated government bonds. The parameters c0 to c3 are the beta-parameters, and d1 and d2 the tau-parameters for all government bonds.

Source

https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html

Examples

data(params)
bondCurve(as.Date("2004-09-06"),params=params)

arolluom/RcmdrPlugin.RiskDemo documentation built on May 8, 2019, 9:58 p.m.