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: 0.2.1 Depends: R (≥ 3.5.0) Imports: dplyr (≥ 1.0.0), future.apply, generics, ggplot2, lubridate, Matrix, progressr, Rcpp (≥ 0.12.18), rlang, stats, tibble, tidyr, tidyselect LinkingTo: Rcpp, RcppArmadillo Suggests: testthat (≥ 3.0.0), knitr, rmarkdown, plotly Published: 2024-06-05 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 Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=ycevo to link to this page.
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