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DeRezende.Ferreira (version 0.1.0)

Zero Coupon Yield Curve Modelling

Description

Modeling the zero coupon yield curve using the dynamic De Rezende and Ferreira (2011) five factor model with variable or fixed decaying parameters. For explanatory purposes, the package also includes various short datasets of interest rates for the BRICS countries.

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Version

Install

install.packages('DeRezende.Ferreira')

Monthly Downloads

555

Version

0.1.0

License

GPL (>= 2)

Maintainer

Oleksandr Castello

Last Published

April 27th, 2019

Functions in DeRezende.Ferreira (0.1.0)

ZC_Brazil

Zero-Coupon interest rates
DRF.5F.rates

Estimation of spot rates with the De Rezende-Ferreira 5 Factor model
ZC_China

Zero-Coupon interest rates
DeRezende.Ferreira-package

Zero Coupon Yield Curve Modelling
DRF.5F.tVar

Estimation of the De Rezende-Ferreira 5 Factor model's parameters with variable \(\ \tau\)
DRF.5F.tFix

Estimation of the De Rezende-Ferreira 5 Factor model's parameters with fixed \(\ \tau\)
ZC_SouthAfrica

Zero-Coupon interest rates
ZC_India

Zero-Coupon interest rates
ZC_Russia

Zero-Coupon interest rates