YieldCurve: Modelling and estimation of the yield curve

Modelling the yield curve with some parametric models. The models implemented are: Nelson-Siegel, Diebold-Li and Svensson. The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.

Version: 4.1
Depends: R (≥ 2.10), xts
Published: 2013-01-30
Author: Sergio Salvino Guirreri
Maintainer: Sergio Salvino Guirreri <sergioguirreri at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: http://www.guirreri.host22.com
NeedsCompilation: no
Citation: YieldCurve citation info
In views: Finance
CRAN checks: YieldCurve results


Reference manual: YieldCurve.pdf
Package source: YieldCurve_4.1.tar.gz
Windows binaries: r-devel: YieldCurve_4.1.zip, r-release: YieldCurve_4.1.zip, r-oldrel: YieldCurve_4.1.zip
OS X Snow Leopard binaries: r-release: YieldCurve_4.1.tgz, r-oldrel: YieldCurve_4.1.tgz
OS X Mavericks binaries: r-release: YieldCurve_4.1.tgz
Old sources: YieldCurve archive