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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: |
0.2.1 |
| 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: |
2024-06-05 |
| DOI: |
10.32614/CRAN.package.ycevo |
| 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:
Please use the canonical form
https://CRAN.R-project.org/package=ycevo
to link to this page.
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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