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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.

Project Information

Development Status : 3 - Alpha
Development Status : 5 - Production/Stable
Intended Audience : Developers
Intended Audience : End Users/Desktop
Intended Audience : Other Audience
License : OSI Approved : GNU General Public License (GPL)
Natural Language : English
Operating System : Microsoft : Windows : Windows NT/2000/XP
Operating System : POSIX : Linux
Programming Language : R

Registered: 2009-07-26 15:06
Activity Ranking: 0
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Sergio Guirreri

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Parineeta Pandoo

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Thanks to:

Vienna University of Economics and Business

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