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YieldCurve  

Modelling and Estimation of the Yield Curve
View on CRAN: Click here


Download and install YieldCurve package within the R console
Install from CRAN:
install.packages("YieldCurve")

Install from Github:
library("remotes")
install_github("cran/YieldCurve")

Install by package version:
library("remotes")
install_version("YieldCurve", "5.1")



Attach the package and use:
library("YieldCurve")
Maintained by
Sergio Salvino Guirreri
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2009-08-04
Latest Update: 2022-10-02
Description:
Modelling the yield curve with some parametric models. The models implemented are: Nelson, C.R., and A.F. Siegel (1987) <doi:10.1086/296409>, Diebold, F.X. and Li, C. (2006) <doi:10.1016/j.jeconom.2005.03.005> and Svensson, L.E. (1994) <doi:10.3386/w4871>. The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.
How to cite:
Sergio Salvino Guirreri (2009). YieldCurve: Modelling and Estimation of the Yield Curve. R package version 5.1, https://cran.r-project.org/web/packages/YieldCurve. Accessed 26 Aug. 2026.
Previous versions and publish date:
(2026-07-09 08:30), 1.0 (2009-08-04 16:22), 2.0 (2009-11-04 18:51), 3.0 (2010-07-24 21:42), 3.1 (2012-10-29 08:58), 4.0 (2012-12-04 11:49), 4.1 (2013-01-30 15:15)
Other packages that cited YieldCurve R package
View YieldCurve citation profile
Other R packages that YieldCurve depends, imports, suggests or enhances
Complete documentation for YieldCurve
Functions, R codes and Examples using the YieldCurve R package
Some associated functions: ECBYieldCurve . FedYieldCurve . NSrates . Nelson.Siegel . Srates . Svensson . YieldCurve-package . 
Some associated R codes: NSrates.R . Nelson.Siegel.R . Srates.R . Svensson.R . beta.R .  Full YieldCurve package functions and examples
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