yieldcurves 0.1.0
- Initial release.
- Nelson-Siegel (1987) and Svensson (1994) yield curve fitting with
multi-start optimization and optional observation weights.
- Cubic spline interpolation via
stats::splinefun.
- Forward rate extraction (analytical for NS/Svensson, numerical for
splines).
- Discount factor computation with continuous, annual, and semi-annual
compounding.
- Duration and convexity for zero-coupon bonds via
yc_duration().
- Coupon bond duration, modified duration, and convexity via
yc_bond_duration() (annual, semi-annual, or continuous
compounding).
- Z-spread computation via
yc_zspread().
- Key rate durations via
yc_key_rate_duration().
- Par-to-zero and zero-to-par rate conversions via bootstrap
stripping, supporting annual and semi-annual coupon frequencies.
- Principal component decomposition of yield curve time series.
- Carry and roll-down analysis.
- Slope measures (2s10s, 2s30s, butterfly) and level-slope-curvature
decomposition.