ZC_China

<p>ZC Government bonds with maturities (1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 30) expressed in years and with  business day frequency, source: Thomson Reuters Datastream. The range date is from 2018-01-02 to 2018-01-15.</p>

Modeling the zero coupon yield curve using the dynamic De Rezende and
Ferreira (2011) <doi:10.1002/for.1256> 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.

Oleksandr Castello

DeRezende.Ferreira

Zero Coupon Yield Curve Modelling

ZC_China function

<p>A data frame (txt file) with 14 daily interest rates at different maturities and 10 observed days.</p>

ZC_China: Zero-Coupon interest rates

Description

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