Zero-coupon Yield Curve Estimation: Project Home – R-Forge

The package focuses on the cubic splines approach of McCulloch (1971, 1975) and the Nelson and Siegel (1987) method with extensions by Svensson (1994), Diebold and Li (2006) and De Pooter (2007).

No tag defined for this project

• Development Status : 4 - Beta
• Intended Audience : End Users/Desktop
• Natural Language : English
• Programming Language : R
• Topic : Finance : Fixed Income

Registered: 2007-01-15 14:54
Activity Ranking: 0
View project Statistics or Activity
View list of RSS feeds available for this project. 

Project Admins

View the 3 Member(s)

Request to join