Package: ycevo 0.2.1.9000

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_0.2.1.9000.tar.gz
ycevo_0.2.1.9000.zip(r-4.7)ycevo_0.2.1.9000.zip(r-4.6)ycevo_0.2.1.9000.zip(r-4.5)
ycevo_0.2.1.9000.tgz(r-4.6-x86_64)ycevo_0.2.1.9000.tgz(r-4.6-arm64)ycevo_0.2.1.9000.tgz(r-4.5-x86_64)ycevo_0.2.1.9000.tgz(r-4.5-arm64)
ycevo_0.2.1.9000.tar.gz(r-4.7-arm64)ycevo_0.2.1.9000.tar.gz(r-4.7-x86_64)ycevo_0.2.1.9000.tar.gz(r-4.6-arm64)ycevo_0.2.1.9000.tar.gz(r-4.6-x86_64)
ycevo_0.2.1.9000.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
ycevo/json (API)
NEWS

# Install 'ycevo' in R:

install.packages('ycevo', repos = c('https://bonsook.r-universe.dev', 'https://cloud.r-project.org'))

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

Uses libs:

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

On CRAN:

cpp openmp

3.85 score 7 stars 4 scripts 151 downloads 9 exports 43 dependencies

Last updated from:94e947b075. Checks:13 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	204
linux-devel-x86_64	OK	208
source / vignettes	OK	204
linux-release-arm64	OK	196
linux-release-x86_64	OK	206
macos-release-arm64	OK	148
macos-release-x86_64	OK	262
macos-oldrel-arm64	OK	181
macos-oldrel-x86_64	OK	265
windows-devel	OK	156
windows-release	OK	168
windows-oldrel	OK	173
wasm-release	OK	134

Exports:augment autoplot estimate_yield generate_yield get_yield_at get_yield_at_vec vis_kernel ycevo ycevo_data

Dependencies:cli codetools cpp11 digest dplyr farver future future.apply generics ggplot2 globals glue gtable isoband labeling lattice lifecycle listenv lubridate magrittr Matrix parallelly pillar pkgconfig progressr purrr R6 RColorBrewer Rcpp RcppArmadillo rlang S7 scales stringi stringr tibble tidyr tidyselect timechange utf8 vctrs viridisLite withr

Citation

Development and contributors

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