ycevo

Nonparametric Estimation of the Yield Curve Evolution

CRAN Package

Nonparametric estimation of discount functions and yield curves from transaction data of coupon paying bonds. Koo, B., La Vecchia, D., & Linton, O. B. (2021) describe an application of this package using the Center for Research in Security Prices (CRSP) Bond Data and document its implementation.

  • Version0.2.1
  • R version≥ 3.5.0
  • LicenseGPL-3
  • Needs compilation?Yes
  • Languageen-AU
  • Last release06/05/2024

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  • Depends1 package
  • Imports13 packages
  • Suggests4 packages
  • Linking To2 packages