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Modelling the yield curve with some parametric models. The models implemented are: Nelson, C.R., and A.F. Siegel (1987) <doi:10.1086/296409>, Diebold, F.X. and Li, C. (2006) <doi:10.1016/j.jeconom.2005.03.005> and Svensson, L.E. (1994) <doi:10.3386/w4871>. The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.
| Version: | 5.1 |
| Depends: | R (≥ 2.10), xts |
| Published: | 2022-10-02 |
| DOI: | 10.32614/CRAN.package.YieldCurve |
| Author: | Sergio Salvino Guirreri |
| Maintainer: | Sergio Salvino Guirreri <sergioguirreri at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Citation: | YieldCurve citation info |
| Materials: | NEWS |
| CRAN checks: | YieldCurve results |
| Reference manual: | YieldCurve.pdf |
| Package source: | YieldCurve_5.1.tar.gz |
| Windows binaries: | r-devel: YieldCurve_5.1.zip, r-release: YieldCurve_5.1.zip, r-oldrel: YieldCurve_5.1.zip |
| macOS binaries: | r-release (arm64): YieldCurve_5.1.tgz, r-oldrel (arm64): YieldCurve_5.1.tgz, r-release (x86_64): YieldCurve_5.1.tgz, r-oldrel (x86_64): YieldCurve_5.1.tgz |
| Old sources: | YieldCurve archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.