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treasuryTR
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]
[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
Previous versions and publish date:
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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
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