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>.

Package details

AuthorMartin Geissmann [aut, cre]
MaintainerMartin Geissmann <mg@econovo.ch>
LicenseMIT + file LICENSE
Version0.1.5
URL https://github.com/mgei/treasuryTR
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("treasuryTR")

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treasuryTR documentation built on July 22, 2021, 9:06 a.m.