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0. Yield Curve - 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.

Development Status : 3 - Alpha [Filter]
Development Status : 5 - Production/Stable (Now Filtering)
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Registered: 2009-07-26 15:06