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.

See also

Useful links:

• https://github.com/charlescoverdale/yieldcurves

• Report bugs at https://github.com/charlescoverdale/yieldcurves/issues

Author

Maintainer: Charles Coverdale charlesfcoverdale@gmail.com