Message-ID: <CABCh89puVKpSNA0v5odA41pMbbkCM_twSLQ1zu2_GGAugu5-eg@mail.gmail.com>
Date: 2014-11-01T03:22:29Z
From: Matthew Johnson
Subject: zero coupon yield curve estimation
hi,
I see that there are a number of R packages to extract a zero coupon yield
curve from par rates -
In particular the follow two seem to be popular:
'termstrc' <http://cran.r-project.org/web/packages/termstrc/termstrc.pdf>
and
'ycinterextra'
<http://cran.r-project.org/web/packages/ycinterextra/ycinterextra.pdf>
is one or another of them better? or something else?
Can anyone give a summary of the trade offs between these two packages --
and for that matter any of that i have missed?
thanks and best regards
mj
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