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:
YieldCurve_5.1.tar.gz
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')) |
- ECBYieldCurve - Yield curve data spot rate, AAA-rated bonds, maturities from 3 months to 30 years
- FedYieldCurve - Federal Reserve interest rates
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:606ee5f1f1. Checks:4 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 114 | ||
| source / vignettes | OK | 162 | ||
| linux-release-x86_64 | OK | 110 | ||
| wasm-release | OK | 110 |
Exports:.beta1Forward.beta1Spot.beta2Forward.beta2Spot.factorBeta1.factorBeta2.NS.estimator.NSS.estimatorNelson.SiegelNSratesSratesSvensson
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Modelling and estimation of the yield curve | YieldCurve-package YieldCurve |
| Yield curve data spot rate, AAA-rated bonds, maturities from 3 months to 30 years | ECBYieldCurve |
| Federal Reserve interest rates | FedYieldCurve |
| Estimation of the Nelson-Siegel parameters | Nelson.Siegel |
| Interest rates of the Nelson-Siegel's model. | NSrates |
| Interest rates of the Svensson's model. | Srates |
| Estimation of the Svensson parameters | Svensson |