BondsData              package:fEcofin              R Documentation

_B_o_n_d_s _D_a_t_a _S_e_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of data sets  from the Rmetrics
     Package fBonds. 

     The data sets are:

       'bundesbankNSS'  Nelson-Siegel-Svensson Coefficients,
       'mk.zero2'       US zero-coupon yield curve,
       'mk.maturity'    US term structure maturities.

_F_o_r_m_a_t:

     Time series files are in CSV Excel spreadsheet format.  The
     delimiter is a semicolon.

_D_e_t_a_i_l_s:

     *Bundesbank Nelson-Siegel-Svensson Coefficients:*

      'bundesbankNSS' coefficients for the Nelson-Siegel-Svensson yield
     curve. from the German Bundesbank.
      The data set ranges from 1973-01-03 to 1996-07-23.
      The columns are named: BMW.RET.
      Source: German Bundesbank.

     *US zero-coupon yield curve:*

      'mk.zero2'  is a data set with a 67 x 55 values representing the
     US zero-coupon  yield curve. 
      The data set ranges from August 1985 to February 1991.
      The columns are named:
      Source: 

     *US term structure maturities:*

      'mk.maturity'  is a numeric vector of length 55, giving the
     fifty-five maturities  in terms of years for the term structure.
      The data set ranges from August 1985 to February 1991.
      The columns are named:
      Source: 

_R_e_f_e_r_e_n_c_e_s:

     McCulloch J. H. (1990); _US term structure data: 1946-87_, 
     Handbook of Monetary Economics, Friedman B.M. and Hahn F.H.
     (eds.),  Elsevier Science.  

     McCulloch J. H. and Kwon, H.C. (1993); _US term structure data:
     1947-1991_,  Working Paper No. 93-6, Department of Economics, 
     Ohio State University.

