The package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. The implementation focuses on the cubic splines approach of McCulloch (1971, 1975) and the Nelson and Siegel (1987) method with extensions by Svensson (1994), Diebold and Li (2006) and De Pooter (2007). We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Extensive summary statistics and plots are provided to compare the results of the different estimation methods. Several demos are available using data from European government bonds and yields.

Documentation

Manual: termstrc.pdf
Vignette: None available.

Maintainer: Josef Hayden <josef.hayden at gmail.com>

Author(s): Robert Ferstl, Josef Hayden

Install package and any missing dependencies by running this line in your R console:

install.packages("termstrc")

Depends R (>= 3.0.0)
Imports lmtest, Rcpp(>=0.10.6), rgl, sandwich, urca, zoo
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Package termstrc
Materials
URL http://R-Forge.R-project.org/projects/termstrc/
Task Views Finance
Version 1.3.7
Published 2013-11-04
License GPL (>= 2)
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks termstrc check results
Package source termstrc_1.3.7.tar.gz