YieldCurve package (Mathematica)

09 August 2001

Note:
===================================================================
The code was written in version 2.2 of Mathematica. Version 2.2
notebooks did not have the capability of displaying typesetting math
properly, so TeX commands were embedded in the notebook. The publisher
had access to code that translated the notebook into PostScript for
publication. I only have the notebook with the embedded TeX, which is
a bit tough to read.

Version 3 was released shortly after the publication of the Varian
book. The code as originally written did not work properly under
version 3, because I had directly accessed in the internals of
Mathematica's InterpolationFunction which were changed in version 3
(of course). I have written a bug fix (to BSplineBasis.m) which is
incorporating the code in this distribution.


The files in this distribution:
===================================================================
ReadMe.txt (this file)

(Mathematica code)
BSplineBasis.m (fixed version)
CommaDelimited.m
daycount.m
MakeCalendar.m
PageLayout.m
ShowTime.m
TriangularPlot3D.m
Yieldcurve.m

(sample data files)
19880719.dat
19890821.dat
19900212.dat
19910211.dat
19920713.dat
19930127.dat
19941011.dat
19950320.dat
openmkt.dat
strips.dat

(a version of the user's guide; same content as chapter 12 below, but
	book is easier to read since the Mathematcia notebook as embedded
	TeX commands in it.)
ycuser.nb


Additional documentation:
===================================================================
The working paper (the theory is explained and simulations are conducted):
Mark Fisher, Douglas Nychka, and David Zervos, 1994,
"Fitting the term structure of interest rates with smoothing splines",
Federal Reserve Board Working Paper Series 95-1.

Also available (missing the graphs) at
http://www.markfisher.net/~mefisher/papers/downloadable_papers.html

User's guide (the theory is outlined and the usage of the packages
	is described):
Mark Fisher and David Zervos, 1996, "YieldCurve", chapter 12 in
Computational Economics and Finance : Modeling and Analysis With Mathematica
Hal R. Varian (ed.), Springer Verlag
ISBN: 0387945180
(includes disk; code needs BSplineBasisFix.m)

code also available at (also needs BSplineBasisFix.m)
http://www.mathsource.com/cgi-bin/msitem?0209-652

The BSplineBasisFix.m is available at
http://www.markfisher.net/~mefisher/mma/mathematica.html


