YieldCurve (4.1)

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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.

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

License: GPL (>= 2)

Uses: xts

Released almost 7 years ago.

5 previous versions



  3.0/5 (2 votes)


  3.0/5 (2 votes)

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