SCM

Yield Curve: Project Home – R-Forge

Project description

Yield curve is modelled by the methodologies of Nelson-Siegel and Svensson. The crucial point is to estimate the coefficients in linear way, according to approach of Diebol and Li.
The package also includes the term structure of Fed and ECB.

Public Areas
 Mailing Lists (1 public mailing list)
 SCM Repository (Subversion: 47 commits, 111 adds)
Thanks to:
Vienna University of Economics and Business University of Wisconsin - Madison Powered By FusionForge