termstrc: Zero-coupon Yield Curve Estimation

The package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. The implementation 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). We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Extensive summary statistics and plots are provided to compare the results of the different estimation methods. Several demos are available using data from European government bonds and yields.

Version: 1.3.7
Depends: R (≥ 3.0.0)
Imports: lmtest, Rcpp (≥ 0.10.6), rgl, sandwich, urca, zoo
LinkingTo: Rcpp
Published: 2013-11-04
Author: Robert Ferstl, Josef Hayden
Maintainer: Josef Hayden <josef.hayden at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: http://R-Forge.R-project.org/projects/termstrc/
NeedsCompilation: yes
Citation: termstrc citation info
In views: Finance
CRAN checks: termstrc results

Downloads:

Reference manual: termstrc.pdf
Package source: termstrc_1.3.7.tar.gz
OS X binary: termstrc_1.3.7.tgz
Windows binary: termstrc_1.3.7.zip
Old sources: termstrc archive