RATS program to estimate term structure with cubic splines

Tom Doan ()

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 8.00
Keywords: Term structure estimation; cubic spline (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/bondspline.rpf (text/plain)

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:rtz00019

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