Package index • yieldcurves

Curve Fitting

Parametric and spline yield curve models

yc_nelson_siegel(): Fit Nelson-Siegel Yield Curve
yc_svensson(): Fit Svensson Yield Curve
yc_cubic_spline(): Fit Cubic Spline Yield Curve
yc_fit(): Fit a Yield Curve
yc_predict(): Predict Rates from a Fitted Yield Curve

Curve Metrics

Level, slope, curvature, and forward rates

yc_curve(): Create a Yield Curve Object
yc_forward(): Extract Forward Rates
yc_slope(): Yield Curve Slope Measures
yc_level_slope_curvature(): Extract Level, Slope, and Curvature Factors
yc_interpolate(): Interpolate Yield Curve

Risk and Returns

Duration, carry, rolldown, and z-spread

yc_duration(): Duration and Convexity
yc_bond_duration(): Coupon Bond Duration and Convexity
yc_key_rate_duration(): Key Rate Durations
yc_carry(): Carry and Roll-Down Analysis
yc_zspread(): Z-Spread

Decomposition

PCA and zero/par conversions

yc_pca(): Principal Component Analysis of Yield Curves
yc_par_to_zero(): Convert Par Rates to Zero Rates
yc_zero_to_par(): Convert Zero Rates to Par Rates
yc_discount(): Compute Discount Factors

Package

yieldcurves yieldcurves-package: yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

S3 Methods

Plot, print, and summary methods for curve objects

plot(<yc_curve>): Plot Method for Yield Curve Objects
plot(<yc_pca>): Plot Method for Yield Curve PCA Objects
print(<yc_curve>): Print Method for Yield Curve Objects
print(<yc_pca>): Print Method for Yield Curve PCA Objects
summary(<yc_curve>): Summary Method for Yield Curve Objects
summary(<yc_pca>): Summary Method for Yield Curve PCA Objects