Zero Coupon Yield Curve Modelling
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Documentation for package ‘DeRezende.Ferreira’ version 0.1.2
Help Pages
| 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 |