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:Oleksandr Castello [aut, cre] Marina Resta [ctb, cre]

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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'))
Datasets:

On CRAN:

Conda-Forge:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 165 downloads 3 exports 3 dependencies

Last updated 6 years agofrom:d9842a1274. Checks:9 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 04 2025
R-4.5-winOKMar 04 2025
R-4.5-macOKMar 04 2025
R-4.5-linuxOKMar 04 2025
R-4.4-winOKMar 04 2025
R-4.4-macOKMar 04 2025
R-4.4-linuxOKMar 04 2025
R-4.3-winOKMar 04 2025
R-4.3-macOKMar 04 2025

Exports:DRF.5F.ratesDRF.5F.tFixDRF.5F.tVar

Dependencies:latticextszoo