YieldCurve: Modelling and estimation of the yield curve
Version 4.1

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.

Package details

AuthorSergio Salvino Guirreri
Date of publication2013-05-18 15:47:22
MaintainerSergio Salvino Guirreri <[email protected]>
LicenseGPL (>= 2)
URL http://www.guirreri.host22.com
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("YieldCurve", repos="http://R-Forge.R-project.org")

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YieldCurve documentation built on May 31, 2017, 4:22 a.m.