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# CITATION.cff file created with {cffr} R package
# See also: https://docs.ropensci.org/cffr/
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cff-version: 1.2.0
message: 'To cite package "yrnd" in publications use:'
type: software
license: GPL-3.0-only
title: 'yrnd: Extracts Risk Neutral Densities of Prices, Money Market Rates and Government
  Bond Yields from Interest Rates Futures Options Prices'
version: 0.1.5
doi: 10.32614/CRAN.package.yrnd
abstract: Provides with parametric Risk Neutral Densities (RNDs) and cumulative densities
  of futures prices on fixed-income products. It relies on options on Short Term Interest
  Rate futures or options on government bond futures. It models the futures price
  as a mixture of lognormal densities. It also provides with the RNDs and cumulative
  densities of the money market rate or the government bond yield inferred from the
  futures price, using the RND of the futures price. The package also provides with
  the probability attached to each bond in the delivery basket of a government bond
  futures to be the cheapest at maturity, and also the non parametric distribution
  of the spread between two bond yields, using two RNDs based on options on bond futures
  of the same maturity. The package leverages on the works of Melick, W. R. and Thomas,
  C. P. (1997) <https://doi.org/10.2307/2331318> and B. Bahra (1998) <https://doi.org/10.2139/ssrn.77429>.
authors:
- family-names: Arrata
  given-names: William
  email: william.arrata@gmail.com
repository: https://cran.r-universe.dev
commit: 9b64b29a4b904972bc1fdb1e95c9e9142562cd9a
date-released: '2026-07-21'
contact:
- family-names: Arrata
  given-names: William
  email: william.arrata@gmail.com