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: NA
Author: Bonsoo Koo [aut], Nathaniel Tomasetti [ctb], Kai-Yang Goh [ctb], Yangzhuoran Fin Yang ORCID iD [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:

Reference manual: ycevo.pdf

Downloads:

Package source: ycevo_0.2.1.tar.gz
Windows binaries: r-devel: ycevo_0.2.1.zip, r-release: ycevo_0.2.1.zip, r-oldrel: ycevo_0.2.1.zip
macOS binaries: r-release (arm64): ycevo_0.2.1.tgz, r-oldrel (arm64): ycevo_0.2.1.tgz, r-release (x86_64): ycevo_0.2.1.tgz, r-oldrel (x86_64): ycevo_0.2.1.tgz
Old sources: ycevo archive

Linking:

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