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Zero-coupon Yield Curve Estimation

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).

Project Information

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
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Vienna University of Economics and Business

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