The term.structure data frame has 117
observations on the prices of U.S. STRIPS
(Separate Trading on Registered Interest and
Principal of Securities) on December 31, 1995.
Usage
data(term.structure)
Format
This data frame contains the following columns:
time.to.maturity
time in years between 31st December, 1995,
and the date on which the STRIPS matures.
price
price of the STRIPS as a percent of par.
Source
University of Houston Fixed Income Database.
References
Jarrow, R., Ruppert, D., and Yu, Y. (2004).
Estimating the term structure of corporate debt
with a semiparametric penalized spline model,
Journal of the American Statistical Association,
99, 57-66.
R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
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> library(SemiPar)
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/SemiPar/term.structure.Rd_%03d_medium.png", width=480, height=480)
> ### Name: term.structure
> ### Title: Term structure data
> ### Aliases: term.structure
> ### Keywords: datasets
>
> ### ** Examples
>
> library(SemiPar)
> data(term.structure)
> attach(term.structure)
> plot(time.to.maturity,price)
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> dev.off()
null device
1
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