Package: YieldCurve 5.1

Sergio Salvino Guirreri

YieldCurve: Modelling and Estimation of the Yield Curve

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.

Authors:Sergio Salvino Guirreri

YieldCurve_5.1.tar.gz
YieldCurve_5.1.zip(r-4.7-any)YieldCurve_5.1.zip(r-4.6-any)
YieldCurve_5.1.tar.gz(r-4.7-any)YieldCurve_5.1.tar.gz(r-4.6-any)
YieldCurve_5.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
YieldCurve/json (API)

# Install 'YieldCurve' in R:
install.packages('YieldCurve', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))
Datasets:
  • ECBYieldCurve - Yield curve data spot rate, AAA-rated bonds, maturities from 3 months to 30 years
  • FedYieldCurve - Federal Reserve interest rates

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.56 score 5 stars 72 scripts 520 downloads 12 exports 3 dependencies

Last updated from:606ee5f1f1. Checks:6 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK98
source / vignettesOK123
linux-releaseOK201
windows-develOK69
windows-releaseOK84
wasm-releaseOK82

Exports:.beta1Forward.beta1Spot.beta2Forward.beta2Spot.factorBeta1.factorBeta2.NS.estimator.NSS.estimatorNelson.SiegelNSratesSratesSvensson

Dependencies:latticextszoo