EF {FTSgof} | R Documentation |
Daily Eurodollar Futures Curves
Description
This dataset contains daily Eurodollar futures curves from February 9, 1998 to June 5, 1998 (N=82
).
A Eurodollar futures contract represents an obligation to deliver 1,000,000 USD to a bank
outside the United States at a specified time.
The Eurodollar futures curves consist of daily settlement prices for these contracts,
available at monthly delivery dates for the first six months and quarterly delivery dates
up to 10 years into the future. These curves are preprocessed using cubic splines,
following Kargin and Onatski (2008), to transform the raw data into smooth curves on
a grid of 114 equally spaced points (J=114
).
Usage
data(EF)
Format
A matrix with columns representing the daily settlement prices as observed functions.
References
Kargin V, Onatski A (2008). Curve forecasting by functional autoregression. Journal of Multivariate Analysis, 99, 2508–2526.