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.


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install.packages("DeRezende.Ferreira")

0.1.0 by Oleksandr Castello, a year ago


Browse source code at https://github.com/cran/DeRezende.Ferreira


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


Documentation:   PDF Manual  


GPL (>= 2) license


Depends on xts, stats


See at CRAN