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ycevo: Nonparametric Estimation of the Yield Curve Evolution
Nonparametric estimation of discount functions and yield curves from
transaction data of coupon paying bonds.
Koo, B., La Vecchia, D., & Linton, O. B. (2021) <doi:10.1016/j.jeconom.2020.04.014>
describe an application of this package using the Center for Research in
Security Prices (CRSP) Bond Data and document its implementation.
| Version: |
0.2.0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
dplyr (≥ 1.0.0), future.apply, generics, ggplot2, lubridate, Matrix, progressr, Rcpp (≥ 0.12.18), rlang, stats, tibble, tidyr, tidyselect |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
testthat (≥ 3.0.0), knitr, rmarkdown, plotly |
| Published: |
2024-05-01 |
| Author: |
Bonsoo Koo [aut],
Nathaniel Tomasetti [ctb],
Kai-Yang Goh [ctb],
Yangzhuoran Fin Yang
 [aut, cre] |
| Maintainer: |
Yangzhuoran Fin Yang <yangyangzhuoran at gmail.com> |
| BugReports: |
https://github.com/bonsook/ycevo/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/bonsook/ycevo |
| NeedsCompilation: |
yes |
| Language: |
en-AU |
| Materials: |
README NEWS |
| CRAN checks: |
ycevo results |
Documentation:
Downloads:
Linking:
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https://CRAN.R-project.org/package=ycevo
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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