Yield Curve Fitting, Analysis, and Decomposition R package yieldcurves version 0.1.0 CRAN Task View: Finance (https://CRAN.R-project.org/view=Finance) 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. Software Depends: R (>= 4.1.0) Imports: cli (>= 3.6.0), graphics, stats Suggests: testthat (>= 3.0.0) Charles Coverdale <charlesfcoverdale@gmail.com> Comprehensive R Archive Network (CRAN) Charles Coverdale [aut, cre] MIT + file LICENSE (https://CRAN.R-project.org/package=yieldcurves/LICENSE) 2026-03-26 application/tgz https://CRAN.R-project.org/package=yieldcurves doi:10.32614/CRAN.package.yieldcurves en-US