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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 06 Jun. 2026.
Previous versions and publish date:
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Complete documentation for yieldcurves
Functions, R codes and Examples using the yieldcurves R package
Full yieldcurves package functions and examples
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