DeRezende.Ferreira
Zero Coupon Yield Curve Modelling
Modeling the zero coupon yield curve using the dynamic De Rezende and Ferreira (2011) doi:10.1002/for.1256 five factor model with variable or fixed decaying parameters. For explanatory purposes, the package also includes various short datasets of interest rates for the BRICS countries.
- Version0.1.0
- R version≥ 3.5.0
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Last release04/27/2019
Team
Oleksandr Castello
Marina Resta
Show author detailsRolesContributor, Maintainer
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Dependencies
- Depends1 package