YieldCurve: Modelling and estimation of the yield curve

Modelling the yield curve with some parametric models. The models implemented are: Nelson-Siegel, Diebold-Li and Svensson. The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.

AuthorSergio Salvino Guirreri
Date of publication2013-05-18 15:47:22
MaintainerSergio Salvino Guirreri <sergioguirreri@gmail.com>
LicenseGPL (>= 2)

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