YieldCurve (4.1)

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Modelling and estimation of the yield curve.

http://www.guirreri.host22.com
http://cran.r-project.org/web/packages/YieldCurve

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.

Maintainer: Sergio Salvino Guirreri
Author(s): Sergio Salvino Guirreri

License: GPL (>= 2)

Uses: xts

Released over 4 years ago.


5 previous versions

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  3.0/5 (2 votes)

Documentation:

  3.0/5 (2 votes)

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