Yield curve or zero-coupon prices interpolation and extrapolation

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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install.packages("ycinterextra")

0.1 by Thierry Moudiki, 6 years ago


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


Authors: Thierry Moudiki


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL-2 | GPL-3 license


Imports graphics, mcGlobaloptim

Depends on compiler, methods


Depended on by ESGtoolkit.


See at CRAN