Package: ycevo 0.3.0
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_0.3.0.tar.gz
ycevo_0.3.0.tar.gz(r-4.7-arm64)ycevo_0.3.0.tar.gz(r-4.7-x86_64)ycevo_0.3.0.tar.gz(r-4.6-arm64)ycevo_0.3.0.tar.gz(r-4.6-x86_64)
ycevo_0.3.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
ycevo/json (API)
| # 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 from:28ed71cabc. Checks:6 OK. Indexed: no.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 193 | ||
| linux-devel-x86_64 | OK | 210 | ||
| source / vignettes | OK | 207 | ||
| linux-release-arm64 | OK | 197 | ||
| linux-release-x86_64 | OK | 219 | ||
| wasm-release | OK | 134 |
Exports:augmentautoplotestimate_yieldgenerate_yieldget_yield_atget_yield_at_vecvis_kernelycevoycevo_data
Dependencies:clicodetoolscpp11digestdplyrfarverfuturefuture.applygenericsggplot2globalsgluegtableisobandlabelinglatticelifecyclelistenvlubridatemagrittrMatrixparallellypillarpkgconfigprogressrpurrrR6RColorBrewerRcppRcppArmadillorlangS7scalesstringistringrtibbletidyrtidyselecttimechangeutf8vctrsviridisLitewithr
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 with ggplot2 or plotly | autoplot.ycevo |
| Generate a yield curve with cubic time evolution | generate_yield get_yield_at get_yield_at_vec |
| Plot the estimated discount functions and yield curves | plot.ycevo |
| Return predicted discount functions or yield curves | predict.ycevo |
| Visualise kernel weights | vis_kernel |
| Estimate yield function | estimate_yield ycevo |
| Simulate bond data | ycevo_data |
