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Provides with parametric risk neutral densities and cumulative densities for futures prices on fixed-income products. It relies on options on Short Term Interest Rate futures contracts prices or options on bond futures contracts prices. It models the price of the underlying asset as a mixture of either two or three lognormal densities. It also brings new functions which provide with risk neutral densities and cumulative densities of the rate or the yield underlying the futures contract, using the density of the futures price. The package is based on the works of Melick, W. R. and Thomas, C. P. (1997) <doi:10.2307/2331318> and B. Bahra (1998) <doi:10.2139/ssrn.77429>.
| Version: | 0.1.0 |
| Imports: | dplyr, ggplot2, lubridate, scales, stats, tvm, utils, zoo |
| Suggests: | knitr, rmarkdown |
| Published: | 2026-02-18 |
| DOI: | 10.32614/CRAN.package.yrnd |
| Author: | William Arrata [aut, cre] |
| Maintainer: | William Arrata <william.arrata at gmail.com> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| CRAN checks: | yrnd results |
| Reference manual: | yrnd.html , yrnd.pdf |
| Vignettes: |
yrnd_functions (source, R code) |
| Package source: | yrnd_0.1.0.tar.gz |
| Windows binaries: | r-devel: yrnd_0.1.0.zip, r-release: yrnd_0.1.0.zip, r-oldrel: yrnd_0.1.0.zip |
| macOS binaries: | r-release (arm64): yrnd_0.1.0.tgz, r-oldrel (arm64): yrnd_0.1.0.tgz, r-release (x86_64): not available, r-oldrel (x86_64): not available |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.