readme.md

In joergrieger/RYieldCurve: Estimate Yield Curve Models

RYieldCurve

Overview

RYieldCurve is a package to model yield curves, compute term premia and risk-free rates.

Models include

• Dynamic Nelson-Siegel Model
• Dynamic Söderlind-Svensson Model

Installation

To install the package you need the devtools package. If you don't have the devtools package, you can install it with

install.packages("devtools")

Once you have installed the devtools package you can install the bvar package with

library('devtools')
devtools::install_github('joergrieger/RYieldCurve')

joergrieger/RYieldCurve documentation built on May 25, 2020, 9:03 p.m.