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.">

ycevo: Nonparametric Estimation of the Yield Curve Evolution (original) (raw)

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 YangORCID iD [aut, cre]
Maintainer: Yangzhuoran Fin Yang
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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