YieldCurve-package {YieldCurve}R Documentation

Modelling and estimation of the yield curve

Description

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.

Details

Package: YieldCurve
Type: Package
Version: 2.0
Date: 2009-11-03
License: GPL (>= 2)
LazyLoad: yes

DieboldLi

Author(s)

Sergio Salvino Guirreri

Maintainer: Sergio Salvino Guirreri <sergioguirreri@gmail.com> <guirreri@dssm.unipa.it>

References

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.

Examples

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)

[Package YieldCurve version 2.0 Index]