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.

Version: 0.1.0
Depends: R (≥ 3.5.0), xts, stats
Published: 2019-04-27
Author: Oleksandr Castello [aut, cre] Marina Resta [ctb, cre]
Maintainer: Oleksandr Castello <alexander-castello at libero.it>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: DeRezende.Ferreira results

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Reference manual: DeRezende.Ferreira.pdf
Package source: DeRezende.Ferreira_0.1.0.tar.gz
Windows binaries: r-devel: DeRezende.Ferreira_0.1.0.zip, r-release: DeRezende.Ferreira_0.1.0.zip, r-oldrel: DeRezende.Ferreira_0.1.0.zip
OS X binaries: r-release: DeRezende.Ferreira_0.1.0.tgz, r-oldrel: DeRezende.Ferreira_0.1.0.tgz

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