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termstrc (version 1.0)

Term Structure and Credit Spread Estimation

Description

The package offers several widely-used term structure estimation procedures, i.e. the parametric Nelson and Siegel approach, Svensson approach and cubic splines.

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Version

Install

install.packages('termstrc')

Monthly Downloads

60

Version

1.0

License

GPL

Maintainer

Robert Ferstl

Last Published

February 15th, 2017

Functions in termstrc (1.0)

corpbonds

Corporate Bonds
create_cashflows_matrix

Cashflows Matrix Creation
eurobonds

European Government Bonds
splines_estim

Term Structure and Credit Spread Estimation with Cubic Splines Method
rmse

Root Mean Squared Error
duration

Duration, modified Duration and Duration based Weights
print.summary.nelson

S3 Print Method
create_maturities_matrix

Maturity Matrix Creation
aabse

Average Absolute Mean Error
bond_prices

Bond Price Calculation
termstrc-package

Term Structure and Credit Spread Estimation
summary.nelson

S3 Summary Method
spotrates

Function for the Calculation of the Spot Rates
summary.cubicsplines

S3 Summary Method for Cubicsplines
loss_function

Loss Function used for the Term Structure Estimation
gi

Cubic Functions
plot.nelson

S3 Plot Method
plot.cubicsplines

S3 Plot Method for Cubic Splines
print.nelson

S3 Print Method
maturity_range

Maturity Range for Bond Data Set
svensson

Spot Rate Function according to Svensson
print.cubicsplines

S3 Print Method for Cubicsplines
print.summary.cubicsplines

S3 Print Method
nelson_estim

Term Structure and Credit Spread Estimation with Nelson/Siegel and Svensson Method
nelson_siegel

Spot Rate Function according to Nelson/Siegel
bond_yields

Bond Yield Calculation