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.
Version: | 0.2.1 |
Depends: | R (≥ 3.5.0) |
Imports: | dplyr (≥ 1.0.0), future.apply, generics, ggplot2, lubridate, Matrix, progressr, Rcpp (≥ 0.12.18), rlang, stats, tibble, tidyr, tidyselect |
LinkingTo: | Rcpp, RcppArmadillo |
Suggests: | testthat (≥ 3.0.0), knitr, rmarkdown, plotly |
Published: | 2024-06-05 |
DOI: | 10.32614/CRAN.package.ycevo |
Author: | Bonsoo Koo [aut],
Nathaniel Tomasetti [ctb],
Kai-Yang Goh [ctb],
Yangzhuoran Fin Yang
|
Maintainer: | Yangzhuoran Fin Yang <yangyangzhuoran at gmail.com> |
BugReports: | https://github.com/bonsook/ycevo/issues |
License: | GPL-3 |
URL: | https://github.com/bonsook/ycevo |
NeedsCompilation: | yes |
Language: | en-AU |
Materials: | README, NEWS |
CRAN checks: | ycevo results [issues need fixing before 2025-09-03] |
Reference manual: | ycevo.html , ycevo.pdf |
Package source: | ycevo_0.2.1.tar.gz |
Windows binaries: | r-devel: ycevo_0.2.1.zip, r-release: ycevo_0.2.1.zip, r-oldrel: ycevo_0.2.1.zip |
macOS binaries: | r-release (arm64): ycevo_0.2.1.tgz, r-oldrel (arm64): ycevo_0.2.1.tgz, r-release (x86_64): ycevo_0.2.1.tgz, r-oldrel (x86_64): ycevo_0.2.1.tgz |
Old sources: | ycevo archive |
Please use the canonical form https://CRAN.R-project.org/package=ycevo to link to this page.