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treasuryTR  

Generate Treasury Total Returns from Yield Data
View on CRAN: Click here


Download and install treasuryTR package within the R console
Install from CRAN:
install.packages("treasuryTR")

Install from Github:
library("remotes")
install_github("cran/treasuryTR")

Install by package version:
library("remotes")
install_version("treasuryTR", "0.1.6")



Attach the package and use:
library("treasuryTR")
Maintained by
Martin Geissmann
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-02-10
Latest Update: 2023-05-27
Description:
Generate Total Returns (TR) from bond yield data with fixed maturity, e.g. reported treasury yields. The generated TR series are very close to alternative series that can be purchased (e.g. CRSP, Bloomberg), suggesting they are a high-quality alternative for those, see Swinkels (2019) .
How to cite:
Martin Geissmann (2021). treasuryTR: Generate Treasury Total Returns from Yield Data. R package version 0.1.6, https://cran.r-project.org/web/packages/treasuryTR. Accessed 02 May. 2025.
Previous versions and publish date:
0.1.0 (2021-02-10 11:40), 0.1.1 (2021-03-12 01:20), 0.1.2 (2021-04-14 09:40), 0.1.3 (2021-05-07 10:50), 0.1.4 (2021-05-28 10:50), 0.1.5 (2021-07-22 10:40), 0.1.6 (2023-04-02 16:30)
Other packages that cited treasuryTR R package
View treasuryTR citation profile
Other R packages that treasuryTR depends, imports, suggests or enhances
Functions, R codes and Examples using the treasuryTR R package
Some associated functions: convexity . get_yields . mod_duration . tibble_to_xts . total_return . xts_to_tibble . 
Some associated R codes: convexity.R . dependencies.R . get_yields.R . mod_duration.R . tibble_to_xts.R . total_return.R . xts_to_tibble.R .  Full treasuryTR package functions and examples
Downloads during the last 30 days
04/0404/0504/0604/0704/0804/0904/1204/1504/1704/1804/2004/2104/2204/2404/2705/01Downloads for treasuryTR12345678TrendBars

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