BONDSPLINE: RATS program to estimate term structure with cubic splines

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Estimates a yield curve using a cubic spline approximation to the discount function, as described in McCulloch(1971), "Measuring the Term Structure of Interest Rates", Journal of Business, vol 44, pp 19-31.

Language: RATS
Requires: RATS 11.00
Keywords: Term structure estimation; cubic spline (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://estima.com/procedures/bondspline.rprj (application/zip)

Related works:
Journal Article: Measuring the Term Structure of Interest Rates (1971)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtj00004

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