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YieldCurve (version 4.1)

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

482

Version

4.1

License

GPL (>= 2)

Maintainer

Sergio Guirreri

Last Published

January 30th, 2013

Functions in YieldCurve (4.1)

ECBYieldCurve

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

NSrates

Interest rates of the Nelson-Siegel's model.

YieldCurve-package

Modelling and estimation of the yield curve

FedYieldCurve

Federal Reserve interest rates

Srates

Interest rates of the Svensson's model.

Nelson.Siegel

Estimation of the Nelson-Siegel parameters

Svensson

Estimation of the Svensson parameters