YieldCurve

cranv5.1

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 th

License GPL (>= 2)0 versions1 maintainers1 deps118 weekly dl
https://CRAN.R-project.org/package=YieldCurve
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First published · 2022-10-02 16:50:36

Last updated · 2022-10-02T15:00:02+00:00