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 = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • 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.

1.70 score 5 stars 54 scripts 532 downloads 12 exports 3 dependencies

Last updated 2 years agofrom:606ee5f1f1. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 13 2024
R-4.5-linuxOKDec 13 2024

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

Dependencies:latticextszoo