term.structure {SemiPar}

Term structure data

Description

The term.structure data frame has 117 observations on the prices of U.S. STRIPS (Separate Trading on Registered Interest and Principal of Securities) on December 31, 1995.

Usage

data(term.structure)

Format

This data frame contains the following columns:

time.to.maturity

time in years between 31st December, 1995, and the date on which the STRIPS matures.

price

price of the STRIPS as a percent of par.

Source

University of Houston Fixed Income Database.

References

Jarrow, R., Ruppert, D., and Yu, Y. (2004). Estimating the term structure of corporate debt with a semiparametric penalized spline model, Journal of the American Statistical Association, 99, 57-66.

Ruppert, D., Wand, M.P. and Carroll, R.J. (2003)
Semiparametric Regression Cambridge University Press.
http//stat.tamu.edu/~carroll/semiregbook/

Examples

library(SemiPar)
data(term.structure)
attach(term.structure)
plot(time.to.maturity,price)