NEWS.md

In grfiv/ustreasuries: Treasury Data Download, Fixed-Income Models and Derivative Analyses

ustreasuries 0.0.0.9006

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Seventh Development Release 0.0.0.9006

• Added vignette veronesi-ch02, all the examples and figures from Chapter 2 of Veronesi

• Added vignette veronesi-ch02-Nelson-Seigel, the appendix to Veronesi Chapter 2 showing the Nelson Seigel and Svensson term structure models

• Added Zbootstrap function

• Modified FedInvestData function to start at the date following the last date in the historical file

• Added data-raw/FedInvestHistory_bring_to_current.R to "top off" the FedInvest historical dataset so that as few POSTS as possible have to be made to bring it current

• Added SP500 and SP500TR to download S&P 500 data

• Added spot_rate function

• Added CoerceFedInvest_xts function

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Sixth Development Release 0.0.0.9005

• Extensive miscellaneous cleanup and refactoring

• Added rudimentary bond math

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Fifth Development Release 0.0.0.9004

• Added References in README and project documentation

• Changed OptionGamma to Gamma

• Changed USTreasuryRates to CMTrates

• Changed CAGRd to CAGR, added geometric & continuous

• Added discount factor functions

  • discount_factor, interest_rate

• Cited my use of Prof. Jayanth R Varma's jrvFinance package Lic: GPL (>=2)

• CMTrates modified to to add attr(..., "data.source") <- "CMT"

• Added xts (>= 0.9.7) to DESCRIPTION Imports

• Added Nelson.Siegel, NSrates, NSzeros, Nelson.Siegel.plot, NSzeros.plot

• Added FedInvestData Return treasury bond price data from 2010

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Fourth Development Release 0.0.0.9003

• Added Implied Volatlity EuroCallVol / EuroPutVol

• Added Time Value TimeValueCall / TimeValuePut

• Updated black-scholes-merton vignette

• Updated GitHub Wiki

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Third Development Release 0.0.0.9002

• Added Greeks

  • DeltaCall / DeltaPut
  • ThetaCall / ThetaPut
  • OptionGamma
  • Vega
  • RhoCall / RhoPut

• Added Utilities

  • IntrinsicValueCall / IntrinsicValuePut
  • InTheMoneyCall / InTheMoneyPut

• Added examples to ustreasuries.R

• Updated black-scholes-merton vignette

• Updated GitHub Wiki

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Second Development Release 0.0.0.9001

• Added all the Black Scholes Merton functions

  • Black-Scholes-Merton
    • EuroCall Calculate the price of a European call option with or without dividends
    • EuroPut Calculate the price of a European put option with or without dividends
  • Utility Functions
    • CAGR
      • CAGRd Calculate discrete Compound Annual Growth Rate
      • r_continuous Convert from discrete to continuous CAGR
      • r_discrete Convert from continuous to discrete CAGR
    • Put/Call Parity
      • CallParity Convert from a put-option price using put/call parity
      • PutParity Convert from a call-option price using put/call parity
    • Risk Neutral/Forwards
      • RiskNeutralProb Binomial tree risk-neutral probability
      • ForwardPrice Forward price with or without income or yield
      • ForwardRate Forward rate from Time1 to Time2 (discrete compounding)
  • Installed but not yet undocumented
    • CashCall
    • CashPut
    • AssetCall
    • AssetPut
    • American_Put_Binomial
    • DeltaCall
    • DeltaPut
    • OptionGamma
    • ThetaCall
    • ThetaPut
    • Vega
    • RhoFuturesCall
    • RhoFuturesPut
    • RhoFXCall
    • RhoFXPut
    • RhoCall
    • RhoPut
    • EuroCallVol
    • EuroPutlVol
    • Black_Scholes_Call_Implied_Vol
    • Black_Scholes_Put_Implied_Vol
    • ImpVolCall
    • ImpVolPut
    • American_Call_Dividend

• Modified yield-curves vignette to show last three years

• Added two vignettes for the derivatives functions

  • utilities examples of the utility functions
  • black-scholes-merton examples of options pricing

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Initial Development Release 0.0.0.9000

• Three fully-documented functions (roxygen2)

  • USTreasuryRates downloads a data.frame with daily data from 1962
  • PrintYieldCurves prints one or more yield curves
  • APY converts Constant-Maturity Treasury (CMT) yields to Annualized Percentage Yields (APY)

• Three vignettes

  • cmt-rates a description of Constant Maturity and Annualized Percentage rates
  • yield-curves examples of downloading the data and printing yield curves for interesting periods in recent financial history
  • plot-10year a plot of the 10-year from 1962 to present

• Unit Tests (testthat) devtools::test()

  • USTreasuryRates Test data download : ...............
  • APY Test APY : ..

• R CMD RStudio Build>Check Package, devtools::check(), devtools::build_win()

  • No errors, warnings or notes
  • "Status: OK, R CMD check succeeded""

• Initial upload to GitHub

  • devtools::install_github("grfiv/ustreasuries", build_vignettes=TRUE) successfully tested

grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.