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treasuryTR: Generate Treasury Total Returns from Yield Data
Generate Total Returns (TR) from bond yield data with fixed maturity, e.g. reported treasury yields. The generated TR series are very close to alternative series that can be purchased (e.g. CRSP, Bloomberg), suggesting they are a high-quality alternative for those, see Swinkels (2019) <doi:10.3390/data4030091>.
Getting started
Browse package contents
Package details |
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| Author | Martin Geissmann [aut, cre] |
| Maintainer | Martin Geissmann <mg@econovo.ch> |
| License | MIT + file LICENSE |
| Version | 0.1.6 |
| URL | https://github.com/mgei/treasuryTR |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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