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:
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')) |
Bug tracker:https://github.com/bonsook/ycevo/issues
Last updated 6 months agofrom:caf1303792. Checks:OK: 1 NOTE: 1. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 03 2024 |
| R-4.5-linux-x86_64 | NOTE | Nov 03 2024 |
Exports:augmentautoplotestimate_yieldgenerate_yieldget_yield_atget_yield_at_vecvis_kernelycevoycevo_data
Dependencies:clicodetoolscolorspacecpp11digestdplyrfansifarverfuturefuture.applygenericsggplot2globalsgluegtableisobandlabelinglatticelifecyclelistenvlubridatemagrittrMASSMatrixmgcvmunsellnlmeparallellypillarpkgconfigprogressrpurrrR6RColorBrewerRcppRcppArmadillorlangscalesstringistringrtibbletidyrtidyselecttimechangeutf8vctrsviridisLitewithr
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Nonparametric Estimation of the Yield Curve Evolution | ycevo-package |
| Augment data with predicted discount functions and yield curves | augment.ycevo |
| Plot the estimated discount functions and yield curves | autoplot.ycevo |
| Generate a yield curve with cubic time evolution | generate_yield get_yield_at get_yield_at_vec |
| Visualise kernel weights | vis_kernel |
| Estimate yield function | estimate_yield ycevo |
| Simulate bond data | ycevo_data |
