Package: yieldcurves 0.1.0

yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

Fits yield curves using Nelson-Siegel (1987) <doi:10.1086/296409>, Svensson (1994) <doi:10.3386/w4871>, and cubic spline methods. Extracts forward rates, discount factors, and par rates from fitted curves. Computes duration and convexity risk measures. Computes Z-spread and key rate durations. Provides principal component decomposition following Litterman and Scheinkman (1991) <doi:10.3905/jfi.1991.692347>, carry and roll-down analysis, and slope measures. All methods are pure computation with no external dependencies beyond base R; works with yield data from any source.

Authors:Charles Coverdale [aut, cre]

yieldcurves_0.1.0.tar.gz
yieldcurves_0.1.0.zip(r-4.7)yieldcurves_0.1.0.zip(r-4.6)yieldcurves_0.1.0.zip(r-4.5)
yieldcurves_0.1.0.tgz(r-4.6-any)yieldcurves_0.1.0.tgz(r-4.5-any)
yieldcurves_0.1.0.tar.gz(r-4.7-any)yieldcurves_0.1.0.tar.gz(r-4.6-any)
yieldcurves_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
yieldcurves/json (API)
NEWS

# Install 'yieldcurves' in R:
install.packages('yieldcurves', repos = c('https://charlescoverdale.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/charlescoverdale/yieldcurves/issues

Pkgdown/docs site:https://charlescoverdale.github.io

On CRAN:

Conda:

3.54 score 1 stars 467 downloads 19 exports 1 dependencies

Last updated from:0a745f9825. Checks:7 WARNING, 2 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64WARNING151
source / vignettesOK133
linux-release-x86_64WARNING107
macos-release-arm64WARNING78
macos-oldrel-arm64WARNING98
windows-develWARNING75
windows-releaseWARNING68
windows-oldrelWARNING65
wasm-releaseOK80

Exports:yc_bond_durationyc_carryyc_cubic_splineyc_curveyc_discountyc_durationyc_fityc_forwardyc_interpolateyc_key_rate_durationyc_level_slope_curvatureyc_nelson_siegelyc_par_to_zeroyc_pcayc_predictyc_slopeyc_svenssonyc_zero_to_paryc_zspread

Dependencies:cli