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cff-version: 1.2.0
message: 'To cite package "yieldcurves" in publications use:'
type: software
license: MIT
title: 'yieldcurves: Yield Curve Fitting, Analysis, and Decomposition'
version: 0.1.0
doi: 10.32614/CRAN.package.yieldcurves
abstract: Fits yield curves using Nelson-Siegel (1987) <https://doi.org/10.1086/296409>,
  Svensson (1994) <https://doi.org/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) <https://doi.org/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:
- family-names: Coverdale
  given-names: Charles
  email: charlesfcoverdale@gmail.com
repository: https://charlescoverdale.r-universe.dev
repository-code: https://github.com/charlescoverdale/yieldcurves
commit: 0a745f9825c5a17e37477e8368d982c828c91f45
url: https://charlescoverdale.github.io/yieldcurves/
date-released: '2026-05-30'
contact:
- family-names: Coverdale
  given-names: Charles
  email: charlesfcoverdale@gmail.com