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

Project description

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).

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Registered: 2007-01-15 14:54
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