fBondsPackage: Bonds Data Sets

Description Format Details References

Description

A collection and description of data sets from the Rmetrics Package fBonds.

The data sets are:

bundesbankNSS Nelson-Siegel-Svensson Coefficients,
mk.zero2 US zero-coupon yield curve,
mk.maturity US term structure maturities.

Format

Time series files are in CSV Excel spreadsheet format. The delimiter is a semicolon.

Details

Bundesbank Nelson-Siegel-Svensson Coefficients:

bundesbankNSS coefficients for the Nelson-Siegel-Svensson yield curve. from the German Bundesbank.
The data set ranges from 1973-01-03 to 1996-07-23.
The columns are named: BMW.RET.
Source: German Bundesbank.

US zero-coupon yield curve:

mk.zero2 is a data set with a 67 x 55 values representing the US zero-coupon yield curve.
The data set ranges from August 1985 to February 1991.
The columns are named:
Source:

US term structure maturities:

mk.maturity is a numeric vector of length 55, giving the fifty-five maturities in terms of years for the term structure.
The data set ranges from August 1985 to February 1991.
The columns are named:
Source:

References

McCulloch J. H. (1990); US term structure data: 1946-87, Handbook of Monetary Economics, Friedman B.M. and Hahn F.H. (eds.), Elsevier Science.

McCulloch J. H. and Kwon, H.C. (1993); US term structure data: 1947-1991, Working Paper No. 93-6, Department of Economics, Ohio State University.


fEcofin documentation built on Nov. 17, 2017, 2:26 p.m.