termstrc-package: 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.References
Bank for International Settlements (2005).
Zero-coupon yield curves: technical documentation.
BIS Papers, No. 25
Robert R. Bliss (2007):
Testing term structure estimation methods.
Advances in Futures and Options Research, 9 197--232.
David Bolder and David Streliski (1999):
Yield Curve Modelling at the Bank of Canada.
Bank of Canada Technical Report, No. 84
Alois Geyer and Richard Mader (1999):
Estimation of the Term Structure of Interest Rates - A Parametric Approach.
OeNB Working Paper, No. 37
Michalis Ioannides (2003):
A comparison of yield curve estimation techniques using UK data.
Journal of Banking & Finance, 27 1--26.
J. Huston McCulloch (1971):
Measuring the Term Structure of Interest Rates.
The Journal of Business, 44 19--31.
J. Huston McCulloch (1975):
The Tax-Adjusted Yield Curve.
The Journal of Finance, 30 811--830.
Sanjay K. Nawalkha and Gloria M. Soto and Natalia K. Beliaeva (2005):
Interest Rate Risk Modeling : The Fixed Income Valuation Course
Wiley Finance
Charles R. Nelson and Andrew F. Siegel (1987):
Parsimonious modeling of yield curves.
The Journal of Business, 60(4):473--489.
Lars E.O. Svensson (1994):
Estimating and interpreting forward interest rates: Sweden 1992 -1994.
Technical Reports 4871, National Bureau of Economic Research.