Description Usage Format Details Source Examples
Yield curve parameters from the European Central Bank (ECB), downloaded on May 2, 2017
1 | data("params")
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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
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.
https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html
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