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.tar.gz(r-4.5-noble)YieldCurve_5.1.tar.gz(r-4.4-noble)
YieldCurve_5.1.tgz(r-4.4-emscripten)YieldCurve_5.1.tgz(r-4.3-emscripten)
YieldCurve.pdf |YieldCurve.html✨
YieldCurve/json (API)
NEWS

# Install 'YieldCurve' in R:
install.packages('YieldCurve', repos = '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.

1.70 score 5 stars 526 downloads 12 exports 3 dependencies

Last updated 3 years agofrom:606ee5f1f1. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 13 2025
R-4.5-linuxOKMar 13 2025
R-4.4-linuxOKMar 13 2025

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

Dependencies:latticextszoo

Citation

To cite the YieldCurve package in publications use:

Guirreri, S.S. (2010). Simulating the Term Structure of Interest Rates with arbitrary marginals. University of Palermo - Department of Statistics and Mathematics ''S. Vianelli''.

Consiglio A. and Guirreri S.S. Simulating the Term Structure of Interest Rates with arbitrary marginals. International Journal of Risk Assessment and Management, 15(4), September 2011.

For BibTex versions of citations use: toBibtex(citation('YieldCurve'))

Corresponding BibTeX entries: 

  @PhdThesis{,
    author = {S.S. Guirreri},
    title = {Simulating the Term Structure of Interest Rates with
      arbitrary marginals},
    school = {University of Palermo - Department of Statistics and
      Mathematics ''S. Vianelli''},
    year = {2010},
    address = {Palermo},
  }

  @Article{,
    author = {A. Consiglio and S.S. Guirreri},
    title = {Simulating the Term Structure of Interest Rates with
      arbitrary marginals},
    journal = {International Journal of Risk Assessment and
      Management},
    year = {2011},
    volume = {15},
    number = {4},
    month = {September},
    url = {http://dx.doi.org/10.1504/IJRAM.2011.042670},
  }