RATS program to estimate term structure with cubic splines
AbstractEstimates 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.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00019.
Programming language: RATS
Requires: RATS 8.00
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
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