Zero Coupon Yield Curve Modelling


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Documentation for package ‘DeRezende.Ferreira’ version 0.1.0

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DeRezende.Ferreira-package Zero Coupon Yield Curve Modelling
DeRezende.Ferreira Zero Coupon Yield Curve Modelling
DRF.5F.rates Estimation of spot rates with the De Rezende-Ferreira 5 Factor model
DRF.5F.tFix Estimation of the De Rezende-Ferreira 5 Factor model's parameters with fixed \ tau
DRF.5F.tVar Estimation of the De Rezende-Ferreira 5 Factor model's parameters with variable \ tau
ZC_Brazil Zero-Coupon interest rates
ZC_China Zero-Coupon interest rates
ZC_India Zero-Coupon interest rates
ZC_Russia Zero-Coupon interest rates
ZC_SouthAfrica Zero-Coupon interest rates