termstrc-package          package:termstrc          R Documentation

_T_e_r_m _S_t_r_u_c_t_u_r_e _a_n_d _C_r_e_d_i_t _S_p_r_e_a_d _E_s_t_i_m_a_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     The package offers several widely-used term structure estimation
     procedures, i.e. the parametric Nelson and Siegel approach,
     Svensson approach and cubic splines.

_R_e_f_e_r_e_n_c_e_s:

     Bank for International Settlements (2005). Zero-coupon yield
     curves: technical documentation. _BIS Papers, *No. 25*_

     Robert R. Bliss (2007): Testing term structure estimation methods.
     _Advances in Futures and Options Research, *9* 197-232._ 

     David Bolder and David Streliski (1999): Yield Curve Modelling at
     the Bank of Canada. _Bank of Canada Technical Report, *No. 84* _

     Alois Geyer and Richard Mader (1999): Estimation of the Term
     Structure of Interest Rates - A Parametric Approach. _OeNB Working
     Paper, *No. 37*_

     Michalis Ioannides (2003): A comparison of yield curve estimation
     techniques using UK data. _Journal of Banking & Finance, *27*
     1-26._ 

     J. Huston McCulloch (1971): Measuring the Term Structure of
     Interest Rates. _The Journal of Business, *44* 19-31._ 

     J. Huston McCulloch (1975): The Tax-Adjusted Yield Curve. _The
     Journal of Finance, *30* 811-830._ 

     Sanjay K. Nawalkha and Gloria M. Soto and Natalia K. Beliaeva
     (2005): Interest Rate Risk Modeling : The Fixed Income Valuation
     Course _Wiley Finance_

     Charles R. Nelson and Andrew F. Siegel (1987):  Parsimonious
     modeling of yield curves. _The Journal of Business_,
     *60(4)*:473-489.

     Lars E.O. Svensson (1994):  Estimating and interpreting forward
     interest rates: Sweden 1992 -1994.  _Technical Reports 4871,
     National Bureau of Economic Research_.

