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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 or options on government bond futures contracts. It models the price of the underlying asset as a mixture of either two or three lognormal densities. It also offers new functions which provide with risk neutral densities and cumulative densities of the money market rate or the government bond yield inferred from the futures contract's price, using the density of the futures price. The package leverages 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: | 0.1.2 |
| Imports: | dplyr, ggplot2, lubridate, Rblpapi, scales, stats, tibble, tvm, utils, zoo |
| Suggests: | knitr, rmarkdown |
| Published: | 2026-04-15 |
| 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_0.1.2.tar.gz |
| Windows binaries: | r-release: yrnd_0.1.2.zip, r-oldrel: yrnd_0.1.2.zip |
| macOS binaries: | r-release (arm64): yrnd_0.1.2.tgz, r-oldrel (arm64): yrnd_0.1.2.tgz, r-release (x86_64): yrnd_0.1.2.tgz, r-oldrel (x86_64): yrnd_0.1.2.tgz |
| Old sources: | yrnd archive |
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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.