Yield Curve Fitting, Analysis, and Decomposition

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Documentation for package ‘yieldcurves’ version 0.1.0

• DESCRIPTION file
• Package NEWS
• Package README

Help Pages

plot.yc_curve	Plot Method for Yield Curve Objects
plot.yc_pca	Plot Method for Yield Curve PCA Objects
print.yc_curve	Print Method for Yield Curve Objects
print.yc_pca	Print Method for Yield Curve PCA Objects
summary.yc_curve	Summary Method for Yield Curve Objects
summary.yc_pca	Summary Method for Yield Curve PCA Objects
yc_bond_duration	Coupon Bond Duration and Convexity
yc_carry	Carry and Roll-Down Analysis
yc_cubic_spline	Fit Cubic Spline Yield Curve
yc_curve	Create a Yield Curve Object
yc_discount	Compute Discount Factors
yc_duration	Duration and Convexity
yc_fit	Fit a Yield Curve
yc_forward	Extract Forward Rates
yc_interpolate	Interpolate Yield Curve
yc_key_rate_duration	Key Rate Durations
yc_level_slope_curvature	Extract Level, Slope, and Curvature Factors
yc_nelson_siegel	Fit Nelson-Siegel Yield Curve
yc_par_to_zero	Convert Par Rates to Zero Rates
yc_pca	Principal Component Analysis of Yield Curves
yc_predict	Predict Rates from a Fitted Yield Curve
yc_slope	Yield Curve Slope Measures
yc_svensson	Fit Svensson Yield Curve
yc_zero_to_par	Convert Zero Rates to Par Rates
yc_zspread	Z-Spread