yieldcurves
Yield Curve Fitting, Analysis, and Decomposition
Fits yield curves using Nelson-Siegel (1987) <doi:10.1086/296409>, Svensson (1994) <doi:10.3386/w4871>, and cubic spline methods. Extracts forward rates, discount factors, and par rates from fitted curves. Computes duration and convexity risk measures. Computes Z-spread and key rate durations. Provides principal component decomposition following Litterman and Scheinkman (1991) <doi:10.3905/jfi.1991.692347>, carry and roll-down analysis, and slope measures. All methods are pure computation with no external dependencies beyond base R; works with yield data from any source.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
rolling linux/jammy R-4.5 | yieldcurves_0.1.0.tar.gz |
117.8 KiB |
0.1.0 |
rolling linux/noble R-4.5 | yieldcurves_0.1.0.tar.gz |
117.7 KiB |
0.1.0 |
rolling source/ R- | yieldcurves_0.1.0.tar.gz |
35.4 KiB |
0.1.0 |
latest linux/jammy R-4.5 | yieldcurves_0.1.0.tar.gz |
117.8 KiB |
0.1.0 |
latest linux/noble R-4.5 | yieldcurves_0.1.0.tar.gz |
117.7 KiB |
0.1.0 |
latest source/ R- | yieldcurves_0.1.0.tar.gz |
35.4 KiB |
0.1.0 |
2026-04-26 source/ R- | yieldcurves_0.1.0.tar.gz |
35.4 KiB |
0.1.0 |
2026-04-23 source/ R- | yieldcurves_0.1.0.tar.gz |
35.4 KiB |
0.1.0 |
2026-04-09 windows/windows R-4.5 | yieldcurves_0.1.0.zip |
121.3 KiB |