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DeRezende.Ferreira

Zero Coupon Yield Curve Modelling

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.

Versions across snapshots

VersionRepositoryFileSize
0.1.2 rolling linux/jammy R-4.5 DeRezende.Ferreira_0.1.2.tar.gz 38.6 KiB
0.1.2 rolling linux/noble R-4.5 DeRezende.Ferreira_0.1.2.tar.gz 38.4 KiB
0.1.2 rolling source/ R- DeRezende.Ferreira_0.1.2.tar.gz 10.2 KiB
0.1.2 latest linux/jammy R-4.5 DeRezende.Ferreira_0.1.2.tar.gz 38.6 KiB
0.1.2 latest linux/noble R-4.5 DeRezende.Ferreira_0.1.2.tar.gz 38.4 KiB
0.1.2 latest source/ R- DeRezende.Ferreira_0.1.2.tar.gz 10.2 KiB
0.1.2 2026-04-26 source/ R- DeRezende.Ferreira_0.1.2.tar.gz 10.2 KiB
0.1.2 2026-04-23 source/ R- DeRezende.Ferreira_0.1.2.tar.gz 10.2 KiB
0.1.2 2026-04-09 windows/windows R-4.5 DeRezende.Ferreira_0.1.2.zip 43.1 KiB
0.1.0 2025-04-20 source/ R- DeRezende.Ferreira_0.1.0.tar.gz 9.8 KiB

Dependencies (latest)

Depends