Modeling the zero coupon yield curve using the dynamic De Rezende and Ferreira (2011) <doi:10.1002/for.1256> five factor model with variable or fixed decaying parameters. For explanatory purposes, the package also includes various short datasets of interest rates for the BRICS countries.
Version: | 0.1.2 |
Depends: | R (≥ 3.5.0), xts, stats |
Published: | 2025-05-25 |
DOI: | 10.32614/CRAN.package.DeRezende.Ferreira |
Author: | Oleksandr Castello [aut, cre], Marina Resta [ctb] |
Maintainer: | Oleksandr Castello <alexander-castello at libero.it> |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: | no |
CRAN checks: | DeRezende.Ferreira results |
Reference manual: | DeRezende.Ferreira.pdf |
Package source: | DeRezende.Ferreira_0.1.2.tar.gz |
Windows binaries: | r-devel: DeRezende.Ferreira_0.1.2.zip, r-release: DeRezende.Ferreira_0.1.2.zip, r-oldrel: DeRezende.Ferreira_0.1.2.zip |
macOS binaries: | r-release (arm64): DeRezende.Ferreira_0.1.2.tgz, r-oldrel (arm64): DeRezende.Ferreira_0.1.2.tgz, r-release (x86_64): DeRezende.Ferreira_0.1.2.tgz, r-oldrel (x86_64): DeRezende.Ferreira_0.1.2.tgz |
Old sources: | DeRezende.Ferreira archive |
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