yieldcurves: Yield Curve Fitting, Analysis, and Decomposition in R
Published:
Abstract
Turns the handful of government bond yields published each day into a smooth curve, so you can read off the interest rate for any maturity. Measures bond risk, and breaks down daily market moves into three simple drivers: an overall shift, a steepening or flattening, and a change in the bend of the curve.
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Recommended citation: Coverdale, C. (2026). yieldcurves: Yield Curve Fitting, Analysis, and Decomposition in R. Working paper.
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