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.
| Version: | 4.1 |
| Depends: | R (≥ 2.10), xts |
| Published: | 2013-01-30 |
| Author: | Sergio Salvino Guirreri |
| Maintainer: | Sergio Salvino Guirreri <sergioguirreri at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | http://www.guirreri.host22.com |
| NeedsCompilation: | no |
| Citation: | YieldCurve citation info |
| In views: | Finance |
| CRAN checks: | YieldCurve results |
| Reference manual: | YieldCurve.pdf |
| Package source: | YieldCurve_4.1.tar.gz |
| Windows binaries: | r-devel: YieldCurve_4.1.zip, r-release: YieldCurve_4.1.zip, r-oldrel: YieldCurve_4.1.zip |
| macOS binaries: | r-release: YieldCurve_4.1.tgz, r-oldrel: YieldCurve_4.1.tgz |
| Old sources: | YieldCurve archive |
| Reverse suggests: | statespacer |
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