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]

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ycevo.pdf |ycevo.html✨
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:

9 exports 5 stars 2.01 score 48 dependencies 3 scripts 168 downloads

Last updated 3 months agofrom:40c1e6934e. Checks:OK: 7 NOTE: 2. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Sep 16 2024
R-4.5-win-x86_64	NOTE	Sep 16 2024
R-4.5-linux-x86_64	NOTE	Sep 16 2024
R-4.4-win-x86_64	OK	Sep 16 2024
R-4.4-mac-x86_64	OK	Sep 16 2024
R-4.4-mac-aarch64	OK	Sep 16 2024
R-4.3-win-x86_64	OK	Sep 16 2024
R-4.3-mac-x86_64	OK	Sep 16 2024
R-4.3-mac-aarch64	OK	Sep 16 2024

Exports:augment autoplot estimate_yield generate_yield get_yield_at get_yield_at_vec vis_kernel ycevo ycevo_data

Dependencies:cli codetools colorspace cpp11 digest dplyr fansi farver future future.apply generics ggplot2 globals glue gtable isoband labeling lattice lifecycle listenv lubridate magrittr MASS Matrix mgcv munsell nlme parallelly pillar pkgconfig progressr purrr R6 RColorBrewer Rcpp RcppArmadillo rlang 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	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