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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 |
| 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 |
| 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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