Zero Coupon Yield Curve Modelling

Modeling the zero coupon yield curve using the dynamic De Rezende and Ferreira (2011) five factor model with variable or fixed decaying parameters. For explanatory purposes, the package also includes various short datasets of interest rates for the BRICS countries.


Reference manual

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0.1.0 by Oleksandr Castello, a year ago

Browse source code at

Authors: Oleksandr Castello [aut, cre] Marina Resta [ctb, cre]

Documentation:   PDF Manual  

GPL (>= 2) license

Depends on xts, stats

See at CRAN