YieldCurve (version 5.1)

Modelling and Estimation of the Yield Curve

Description

Modelling the yield curve with some parametric models. The models implemented are: Nelson, C.R., and A.F. Siegel (1987) , Diebold, F.X. and Li, C. (2006) and Svensson, L.E. (1994) . The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.

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Install

install.packages('YieldCurve')

Monthly Downloads

425

Version

5.1

License

GPL (>= 2)

Maintainer

Last Published

October 2nd, 2022

Functions in YieldCurve (5.1)