ycevo: Nonparametric Estimation of the Yield Curve Evolution
Nonparametric estimation of discount functions and yield curves from transaction data of coupon paying bonds. Koo, B., La Vecchia, D., & Linton, O. B. (2021) <doi:10.1016/j.jeconom.2020.04.014> describe an application of this package using the Center for Research in Security Prices (CRSP) Bond Data and document its implementation.
| Version: | 0.3.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | dplyr (≥ 1.0.0),future.apply,generics,ggplot2, graphics,lubridate,Matrix,progressr,Rcpp (≥ 0.12.18),rlang,scales, stats,tibble,tidyr,tidyselect |
| LinkingTo: | Rcpp,RcppArmadillo |
| Suggests: | testthat (≥ 3.0.0),knitr,rmarkdown,plotly |
| Published: | 2025-08-19 |
| DOI: | 10.32614/CRAN.package.ycevo |
| Author: | Bonsoo Koo [aut], Nathaniel Tomasetti [ctb], Kai-Yang Goh [ctb], Yangzhuoran Fin Yang [aut, cre] |
| Maintainer: | Yangzhuoran Fin Yang <yangyangzhuoran at gmail.com> |
| BugReports: | https://github.com/bonsook/ycevo/issues |
| License: | GPL-3 |
| URL: | https://github.com/bonsook/ycevo |
| NeedsCompilation: | yes |
| Language: | en-AU |
| Materials: | README,NEWS |
| CRAN checks: | ycevo results |
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