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

In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

Description

Fits yield curves using Nelson-Siegel (1987) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1086/296409")}, Svensson (1994) \Sexpr[results=rd]{tools:::Rd_expr_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) \Sexpr[results=rd]{tools:::Rd_expr_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.

Author(s)

Maintainer: Charles Coverdale [e-mail]

See Also

Useful links:

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

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

yieldcurves documentation built on March 26, 2026, 5:06 p.m.