YieldCurve (4.0)

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 about 7 years ago.