Modelling and estimation of the yield curve

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.


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("YieldCurve")

4.1 by Sergio Salvino Guirreri, 6 years ago


http://www.guirreri.host22.com


Browse source code at https://github.com/cran/YieldCurve


Authors: Sergio Salvino Guirreri


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL (>= 2) license


Depends on xts


See at CRAN