CRAN/E | DeRezende.Ferreira

DeRezende.Ferreira

Zero Coupon Yield Curve Modelling

Installation

About

Modeling the zero coupon yield curve using the dynamic De Rezende and Ferreira (2011) doi:10.1002/for.1256 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.

Key Metrics

Version 0.1.0
R ≥ 3.5.0
Published 2019-04-27 1817 days ago
Needs compilation? no
License GPL-2
License GPL-3
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Maintainer

Maintainer

Oleksandr Castello

alexander-castello@libero.it

Authors

Oleksandr Castello

aut / cre

Marina Resta

ctb / cre

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Depends

R ≥ 3.5.0
xts
stats