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ycinterextra (version 0.1)

Yield curve or zero-coupon prices interpolation and extrapolation

Description

Yield curve or zero-coupon prices interpolation and extrapolation using the Nelson-Siegel, Svensson, Smith-Wilson models, and Hermite cubic splines.

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Version

Install

install.packages('ycinterextra')

Monthly Downloads

6

Version

0.1

License

GPL-2 | GPL-3

Maintainer

Thierry Moudiki

Last Published

December 18th, 2013

Functions in ycinterextra (0.1)

Model residuals

Yield curve or zero-coupon prices interpolation

ycinterextra-package

Yield curve or zero-coupon prices interpolation and extrapolation

Conversion to a list

Comprehensive summary

Extraction of estimated coefficients

Yield curve or zero-coupon prices extrapolation

Residual sum of squares

Diagnostic plot

Model fitted values

Forward rates extraction