Package: DeRezende.Ferreira 0.1.0
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.
Authors:
DeRezende.Ferreira_0.1.0.tar.gz
DeRezende.Ferreira_0.1.0.zip(r-4.5)DeRezende.Ferreira_0.1.0.zip(r-4.4)DeRezende.Ferreira_0.1.0.zip(r-4.3)
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DeRezende.Ferreira.pdf |DeRezende.Ferreira.html✨
DeRezende.Ferreira/json (API)
| # Install 'DeRezende.Ferreira' in R: |
| install.packages('DeRezende.Ferreira', repos = c('https://giosvialx.r-universe.dev', 'https://cloud.r-project.org')) |
- 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
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 6 years agofrom:d9842a1274. Checks:9 OK. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Apr 03 2025 |
| R-4.5-win | OK | Apr 03 2025 |
| R-4.5-mac | OK | Apr 03 2025 |
| R-4.5-linux | OK | Apr 03 2025 |
| R-4.4-win | OK | Apr 03 2025 |
| R-4.4-mac | OK | Apr 03 2025 |
| R-4.4-linux | OK | Apr 03 2025 |
| R-4.3-win | OK | Apr 03 2025 |
| R-4.3-mac | OK | Apr 03 2025 |
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Zero Coupon Yield Curve Modelling | DeRezende.Ferreira-package DeRezende.Ferreira |
| Estimation of spot rates with the De Rezende-Ferreira 5 Factor model | DRF.5F.rates |
| Estimation of the De Rezende-Ferreira 5 Factor model's parameters with fixed \ tau | DRF.5F.tFix |
| Estimation of the De Rezende-Ferreira 5 Factor model's parameters with variable \ tau | DRF.5F.tVar |
| Zero-Coupon interest rates | 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 |
