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YieldCurve (version 4.0)

Modelling and estimation of the yield curve

Description

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.

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Version

Install

install.packages('YieldCurve')

Monthly Downloads

399

Version

4.0

License

GPL (>= 2)

Maintainer

Sergio Guirreri

Last Published

December 4th, 2012

Functions in YieldCurve (4.0)

Srates

Interest rates of the Svensson's model.

YieldCurve-package

Modelling and estimation of the yield curve

ECBYieldCurve

Yield curve data spot rate, AAA-rated bonds, maturities from 3 months to 30 years

Nelson.Siegel

Estimation of the Nelson-Siegel parameters

FedYieldCurve

Federal Reserve interest rates

NSrates

Interest rates of the Nelson-Siegel's model.

Svensson

Estimation of the Svensson parameters