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Changelog

Source: NEWS.md

yieldcurves 0.1.0

CRAN release: 2026-03-26

  • Initial release.
  • Nelson-Siegel (1987) and Svensson (1994) yield curve fitting with multi-start optimization and optional observation weights.
  • Cubic spline interpolation via stats::splinefun.
  • Forward rate extraction (analytical for NS/Svensson, numerical for splines).
  • Discount factor computation with continuous, annual, and semi-annual compounding.
  • Duration and convexity for zero-coupon bonds via yc_duration().
  • Coupon bond duration, modified duration, and convexity via yc_bond_duration() (annual, semi-annual, or continuous compounding).
  • Z-spread computation via yc_zspread().
  • Key rate durations via yc_key_rate_duration().
  • Par-to-zero and zero-to-par rate conversions via bootstrap stripping, supporting annual and semi-annual coupon frequencies.
  • Principal component decomposition of yield curve time series.
  • Carry and roll-down analysis.
  • Slope measures (2s10s, 2s30s, butterfly) and level-slope-curvature decomposition.