YieldCurve-package {YieldCurve} | R Documentation |
Modelling the yield curve with some parametric models. The models implemented are: Nelson-Siegel, Diebold-Li and Svensson. The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.
Package: | YieldCurve |
Type: | Package |
Version: | 2.0 |
Date: | 2009-11-03 |
License: | GPL (>= 2) |
LazyLoad: | yes |
DieboldLi
Sergio Salvino Guirreri
Maintainer: Sergio Salvino Guirreri <sergioguirreri@gmail.com> <guirreri@dssm.unipa.it>
Diebold, F.X. and Li, C. (2006), Forecasting the Term Structure of Government Bond Yields, Journal of Econometrics, 130, 337-364.
Diebold, F.X., Ji, L. and Li, C. (2006), A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration, in L.R. Klein (ed.), Long-Run Growth and Short-Run Stabilization: Essays in Memory of Albert Ando. Cheltenham, U.K.: Edward Elgar, 240-274.
Nelson, C.R., and A.F. Siegel (1987), Parsimonious Modeling of Yield Curve, The Journal of Business, 60, 473-489.
Svensson, L.E. (1994), Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994, IMF Working Paper, WP/94/114.
data(FedYieldCurve) tau <- c(3, 6, 12, 60, 84, 120) mediumTerm <- c(12,60,84) NSParameters <- Nelson.Siegel( rate=FedYieldCurve[1:10,], maturity=tau, MidTau=mediumTerm ) y <- NSrates(NSParameters[5,1:3], NSParameters$lambda[5],tau) plot(tau,FedYieldCurve[5,],main="Fitting Nelson-Siegel yield curve", type="o") lines(tau,y, col=2) legend("topleft",legend=c("observed yield curve","fitted yield curve"), col=c(1,2),lty=1)