Zero-coupon yield curves and spread curves are important inputs for
various financial models, e.g. pricing of securities, risk management,
monetary policy issues. Since zero-coupon rates are rarely directly
observable, they have to be estimated from market data. The literature
broadly distinguishes between parametric and spline-based estimation
methods for the zero-coupon yield curve. Our package consists of several
widely-used approaches, i.e. the parametric Nelson and Siegel (1987)
method with the Svensson (1994) extension, and the McCulloch (1975) cubic
splines approach. Extensive summary statistics and plots are provided to
compare the results of the different estimation
methods.