Package: termstrc
Type: Package
Title: Zero-coupon Yield Curve Estimation
Version: 1.3.7
Date: 2013-11-03
Author: Robert Ferstl, Josef Hayden
Maintainer: Josef Hayden <josef.hayden@gmail.com>
Description: 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.
URL: http://R-Forge.R-project.org/projects/termstrc/
LazyLoad: yes
Depends: R (>= 3.0.0)
Imports: lmtest, Rcpp (>= 0.10.6), rgl, sandwich, urca, zoo
LinkingTo: Rcpp
License: GPL (>= 2)
Packaged: 2013-11-03 19:15:41 UTC; rforge
Repository: CRAN
Repository/R-Forge/Project: termstrc
Repository/R-Forge/Revision: 637
Repository/R-Forge/DateTimeStamp: 2013-11-03 18:53:03
Date/Publication: 2013-11-04 20:20:11
NeedsCompilation: yes
Built: R 3.1.0; x86_64-apple-darwin10.8.0; 2013-12-05 15:38:46 UTC; unix
Archs: termstrc.so.dSYM
