Zero-coupon Yield Curve Estimation
Description
Zero-coupon yield curves and spread curves are important
inputs for various financial models, e.g. pricing of
securities, risk management, monetary policy issues. Since
zero-coupon rates are rarely directly observable, they have to
be estimated from market data. The literature broadly
distinguishes between parametric and spline-based estimation
methods for the zero-coupon yield curve. Our package consists
of several widely-used approaches, i.e. the parametric Nelson
and Siegel (1987) method with the Svensson (1994) extension,
and the McCulloch (1975) cubic splines approach. Extensive
summary statistics and plots are provided to compare the
results of the different estimation methods.