Package: ycevo 0.2.1

Yangzhuoran Fin Yang

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.

Authors:Bonsoo Koo [aut], Nathaniel Tomasetti [ctb], Kai-Yang Goh [ctb], Yangzhuoran Fin Yang [aut, cre]

ycevo_0.2.1.tar.gz
ycevo_0.2.1.tar.gz(r-4.5-noble)ycevo_0.2.1.tar.gz(r-4.4-noble)
ycevo_0.2.1.tgz(r-4.4-emscripten)ycevo_0.2.1.tgz(r-4.3-emscripten)
ycevo.pdf |ycevo.html
ycevo/json (API)
NEWS

# Install 'ycevo' in R:
install.packages('ycevo', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/bonsook/ycevo/issues

Uses libs:
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library

cppopenmp

2.00 score 1 stars 3 scripts 155 downloads 9 exports 48 dependencies

Last updated 6 months agofrom:caf1303792. Checks:OK: 1 NOTE: 1. Indexed: no.

TargetResultDate
Doc / VignettesOKDec 03 2024
R-4.5-linux-x86_64NOTEDec 03 2024

Exports:augmentautoplotestimate_yieldgenerate_yieldget_yield_atget_yield_at_vecvis_kernelycevoycevo_data

Dependencies:clicodetoolscolorspacecpp11digestdplyrfansifarverfuturefuture.applygenericsggplot2globalsgluegtableisobandlabelinglatticelifecyclelistenvlubridatemagrittrMASSMatrixmgcvmunsellnlmeparallellypillarpkgconfigprogressrpurrrR6RColorBrewerRcppRcppArmadillorlangscalesstringistringrtibbletidyrtidyselecttimechangeutf8vctrsviridisLitewithr