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

Documentation:

Reference manual:

DeRezende.Ferreira.pdf

Downloads:

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
macOS binaries:	r-release (arm64): DeRezende.Ferreira_0.1.0.tgz, r-oldrel (arm64): DeRezende.Ferreira_0.1.0.tgz, r-release (x86_64): DeRezende.Ferreira_0.1.0.tgz, r-oldrel (x86_64): DeRezende.Ferreira_0.1.0.tgz

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