YieldCurve

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 the term structure of interest rate of Federal Reserve Bank and European Central Bank.