Package: yieldcurves
Title: Yield Curve Fitting, Analysis, and Decomposition
Version: 0.1.0
Authors@R: 
    person("Charles", "Coverdale", , "charlesfcoverdale@gmail.com", role = c("aut", "cre"))
Description: 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.
Depends: R (>= 4.1.0)
License: MIT + file LICENSE
Encoding: UTF-8
Language: en-US
Roxygen: list(markdown = TRUE)
RoxygenNote: 7.3.3
Imports: cli (>= 3.6.0), graphics, stats
Suggests: testthat (>= 3.0.0)
Config/testthat/edition: 3
URL: https://charlescoverdale.github.io/yieldcurves/,
        https://github.com/charlescoverdale/yieldcurves
BugReports: https://github.com/charlescoverdale/yieldcurves/issues
Repository: https://charlescoverdale.r-universe.dev
Date/Publication: 2026-05-30 14:59:05 UTC
RemoteUrl: https://github.com/charlescoverdale/yieldcurves
RemoteRef: HEAD
RemoteSha: 0a745f9825c5a17e37477e8368d982c828c91f45
NeedsCompilation: no
Packaged: 2026-07-04 22:13:31 UTC; root
Author: Charles Coverdale [aut, cre]
Maintainer: Charles Coverdale <charlesfcoverdale@gmail.com>