{ "_id": "6a5feb5414e95619b75d79c2", "Package": "yrnd", "Title": "Extracts Risk Neutral Densities of Prices, Money Market Rates\nand Government Bond Yields from Interest Rates Futures Options\nPrices", "Version": "0.1.5", "Authors@R": "person(\"William\", \"Arrata\", , \"william.arrata@gmail.com\", role = c(\"aut\", \"cre\"))", "Description": "Provides with parametric Risk Neutral Densities (RNDs) and\ncumulative densities of futures prices on fixed-income\nproducts. It relies on options on Short Term Interest Rate\nfutures or options on government bond futures. It models the\nfutures price as a mixture of lognormal densities. It also\nprovides with the RNDs and cumulative densities of the money\nmarket rate or the government bond yield inferred from the\nfutures price, using the RND of the futures price. The package\nalso provides with the probability attached to each bond in the\ndelivery basket of a government bond futures to be the cheapest\nat maturity, and also the non parametric distribution of the\nspread between two bond yields, using two RNDs based on options\non bond futures of the same maturity. The package leverages on\nthe works of Melick, W. R. and Thomas, C. P. (1997)\n and B. Bahra (1998)\n.", "License": "GPL-3", "Encoding": "UTF-8", "RoxygenNote": "7.3.3", "VignetteBuilder": "knitr", "NeedsCompilation": "no", "Packaged": { "Date": "2026-07-21 21:54:04 UTC", "User": "root" }, "Author": "William Arrata [aut, cre]", "Maintainer": "William Arrata ", "Repository": "https://cran.r-universe.dev", "Date/Publication": "2026-07-21 20:38:56 UTC", "RemoteUrl": "https://github.com/cran/yrnd", "RemoteRef": "HEAD", "RemoteSha": "9b64b29a4b904972bc1fdb1e95c9e9142562cd9a", "_user": "cran", "_type": "src", "_file": "yrnd_0.1.5.tar.gz", "_fileid": "https://r2.ropensci.org/2f754c87a8517ce9e71b544116252f4d08e8418ed85a703a040bab239a79ac2d", "_filesize": 3537673, "_sha256": "2f754c87a8517ce9e71b544116252f4d08e8418ed85a703a040bab239a79ac2d", "_expires": "2026-10-29T21:57:37.000Z", "_created": "2026-07-21T21:54:04.000Z", "_published": "2026-07-21T21:57:40.140Z", "_jobs": [ { "job": 88773353613, "time": 167, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": 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"date": "2026-07-21" } ], "_exports": [ "bond_future_charac_bbg", "bond_future_price", "bond_yield_spread", "ctd_bond_yield", "deliv_bonds_charac_bbg", "option_prices_bbg", "proba_ctd", "proba_ctd_opt", "stir_future_charac_bbg", "stir_future_price", "stir_rate" ], "_help": [ { "page": "bond_future_charac_bbg", "title": "bond_future_charac_bbg", "topics": [ "bond_future_charac_bbg" ] }, { "page": "bond_future_price", "title": "bond_future_price", "topics": [ "bond_future_price" ] }, { "page": "bond_yield_spread", "title": "bond_yield_spread", "topics": [ "bond_yield_spread" ] }, { "page": "ctd_bond_yield", "title": "ctd_bond_yield", "topics": [ "ctd_bond_yield" ] }, { "page": "deliv_bonds_charac_bbg", "title": "deliv_bonds_charac_bbg", "topics": [ "deliv_bonds_charac_bbg" ] }, { "page": "option_prices_bbg", "title": "option_prices_bbg", "topics": [ "option_prices_bbg" ] }, { "page": "proba_ctd", "title": "proba_ctd", "topics": [ "proba_ctd" ] }, { "page": "proba_ctd_opt", "title": "proba_ctd_opt", "topics": [ "proba_ctd_opt" ] }, { "page": "stir_future_charac_bbg", "title": "stir_future_charac_bbg", "topics": [ "stir_future_charac_bbg" ] }, { "page": "stir_future_price", "title": "stir_future_price", "topics": [ "stir_future_price" ] }, { "page": "stir_rate", "title": "stir_rate", "topics": [ "stir_rate" ] } ], "_rundeps": [ "BH", "cli", "cpp11", "dplyr", "farver", "generics", "ggplot2", "glue", "gtable", "isoband", "labeling", "lattice", "lifecycle", "lubridate", "magrittr", "MASS", "pillar", "pkgconfig", "plyr", "R6", "Rblpapi", "RColorBrewer", "Rcpp", "reshape2", "rlang", "S7", "scales", "stringi", "stringr", "tibble", "tidyselect", "timechange", "tvm", "utf8", "vctrs", "viridisLite", "withr", "zoo" ], "_vignettes": [ { "source": "yrnd-functions.Rmd", "filename": "yrnd-functions.html", "title": "yrnd-functions", "engine": "knitr::rmarkdown", "headings": [ "yrnd", "stir_future_price provides with the risk neutral density of the STIR futures price, using options on the STIR futures", "stir_rate provides with the risk neutral density of the STIR rate implicit in the STIR futures price, using options on the STIR futures", "bond_future_price provides with the risk neutral density of the government bond futures price, using options on the government bond futures", "ctd_bond_yield provides with the risk neutral density of the yield to maturity of the Cheapest-to-Deliver Bond in a futures contract, using options on the government bond futures", "proba_ctd provides, for each bond in the delivery basket of a government bond futures contact, its probability to be the cheapest to deliver bond at futures' maturity, based on a ranking of the net basis of each bond in the delivery basket at futures' maturity", "proba_ctd_opt provides, for each bond in the delivery basket of a government bond futures contact, its probability to be the cheapest to deliver bond at options' maturity, based on a ranking of the net basis of each bond in the delivery basket at options' maturity", "bond_yield_spread provides, at a given maturity, 10,000 realizations of the bond yield spread between two different issuers' yield or two yields of the same issuer at different maturities, using options on two bond futures with the same maturity and using the correlation coefficient between returns of the corresponding bond futures' prices. The realizations are generated with the joint distribution of the two bond futures prices which are converted into bond yields, using the bonds in the delivery basket of each futures contract. The joint distribution is modeled with a gaussian copula and the marginal RNDs of bond futures price at option's maturity. The bond futures prices are modeled as a mixture of two lognormal laws. The function also returns a density plot of the spread, in bps" ], "created": "2026-07-21 20:38:56", "modified": "2026-07-21 20:38:56", "commits": 1 } ], "_score": 2.778151250383644, "_indexed": false, "_nocasepkg": "yrnd", "_universes": [ "cran" ], "_indexurl": "https://williamarrata.r-universe.dev/yrnd", "_previous": "0.1.4", "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "0.1.5", "date": "2026-07-21T21:56:41.000Z", "distro": "resolute", "commit": "9b64b29a4b904972bc1fdb1e95c9e9142562cd9a", "fileid": "https://r2.ropensci.org/98ed893c82e1c3f4b8489a980131df7435fddf667cbbc80f643488c15a46f86f", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/cran/actions/runs/29871348196" }, { "r": "4.6.1", "os": "linux", "version": "0.1.5", "date": "2026-07-21T21:56:41.000Z", "distro": "resolute", "commit": "9b64b29a4b904972bc1fdb1e95c9e9142562cd9a", "fileid": "https://r2.ropensci.org/d6e15cd62bd863218a9bc4ccffc753d9879c51f7eec2df115daa91b8bf3b54bb", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/cran/actions/runs/29871348196" }, { "r": "4.6.0", "os": "wasm", "version": "0.1.5", "date": "2026-07-21T21:56:45.000Z", "commit": "9b64b29a4b904972bc1fdb1e95c9e9142562cd9a", "fileid": "https://r2.ropensci.org/505905d45ff66acc33539d39d75ef3e44a0a3735faa985e4a63fb5e7ea380105", "status": "success", "buildurl": "https://github.com/r-universe/cran/actions/runs/29871348196" } ] }