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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.
| Version: | 0.1.0 |
| Depends: | R (≥ 4.1.0) |
| Imports: | cli (≥ 3.6.0), graphics, stats |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2026-03-26 |
| DOI: | 10.32614/CRAN.package.yieldcurves |
| Author: | Charles Coverdale [aut, cre] |
| Maintainer: | Charles Coverdale <charlesfcoverdale at gmail.com> |
| BugReports: | https://github.com/charlescoverdale/yieldcurves/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/charlescoverdale/yieldcurves |
| NeedsCompilation: | no |
| Language: | en-US |
| Materials: | README, NEWS |
| In views: | Finance |
| CRAN checks: | yieldcurves results |
| Reference manual: | yieldcurves.html , yieldcurves.pdf |
| Package source: | yieldcurves_0.1.0.tar.gz |
| Windows binaries: | r-devel: yieldcurves_0.1.0.zip, r-release: yieldcurves_0.1.0.zip, r-oldrel: yieldcurves_0.1.0.zip |
| macOS binaries: | r-release (arm64): yieldcurves_0.1.0.tgz, r-oldrel (arm64): not available, r-release (x86_64): yieldcurves_0.1.0.tgz, r-oldrel (x86_64): yieldcurves_0.1.0.tgz |
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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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