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YieldCurve: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 the term structure of interest rate of Federal Reserve Bank and European Central Bank.
Maintained by Sergio Salvino Guirreri. Last updated 2 years ago.
5 stars 1.70 scorecran
fBonds:Rmetrics - Pricing and Evaluating Bonds
It implements the Nelson-Siegel and the Nelson-Siegel-Svensson term structures.
Maintained by Tobias Setz. Last updated 7 years ago.
1.00 score