Modelling and Estimation of the Yield Curve

Modelling the yield curve with some parametric models. The models implemented are: Nelson, C.R., and A.F. Siegel (1987) , Diebold, F.X. and Li, C. (2006) and Svensson, L.E. (1994) . The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.