Other packages > Find by keyword >

yieldcurves  

Yield Curve Fitting, Analysis, and Decomposition
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("yieldcurves", "0.1.0")



Attach the package and use:
library("yieldcurves")
Maintained by
Charles Coverdale
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-03-26
Latest Update: 2026-03-26
Description:
Fits yield curves using Nelson-Siegel (1987) <doi:10.1086/296409>, Svensson (1994) <doi:10.3386/w4871>, and cubic spline methods. Extracts forward rates, discount factors, and par rates from fitted curves. Computes duration and convexity risk measures. Computes Z-spread and key rate durations. Provides principal component decomposition following Litterman and Scheinkman (1991) <doi:10.3905/jfi.1991.692347>, carry and roll-down analysis, and slope measures. All methods are pure computation with no external dependencies beyond base R; works with yield data from any source.
How to cite:
Charles Coverdale (2026). yieldcurves: Yield Curve Fitting, Analysis, and Decomposition. R package version 0.1.0, https://cran.r-project.org/web/packages/yieldcurves. Accessed 04 Oct. 2026.
Previous versions and publish date:
No previous versions
Other packages that cited yieldcurves R package
View yieldcurves citation profile
Other R packages that yieldcurves depends, imports, suggests or enhances
Complete documentation for yieldcurves
Functions, R codes and Examples using the yieldcurves R package
Full yieldcurves package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

skilljaR  
Connect to Your 'Skilljar' Data
Functions that simplify calls to the 'Skilljar' API. See < ...
Download / Learn more Package Citations See dependency  
r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
plotbb  
Grammar of Graphics for 'base' Plot
Proof of concept for implementing grammar of graphics using base plot. The bbplot() function initial ...
Download / Learn more Package Citations See dependency  
rWishart  
Random Wishart Matrix Generation
An expansion of R's 'stats' random wishart matrix generation. This package allows the user to gener ...
Download / Learn more Package Citations See dependency  

28,905

R Packages

247,686

Dependencies

76,495

Author Associations

28,906

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA