Package: yieldcurves
Title: Yield Curve Fitting, Analysis, and Decomposition
Version: 0.1.0
Authors@R: 
    person("Charles", "Coverdale", , "charlesfcoverdale@gmail.com", role = c("aut", "cre"))
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.
Depends: R (>= 4.1.0)
License: MIT + file LICENSE
Encoding: UTF-8
Language: en-US
RoxygenNote: 7.3.3
Imports: cli (>= 3.6.0), graphics, stats
Suggests: testthat (>= 3.0.0)
Config/testthat/edition: 3
URL: https://github.com/charlescoverdale/yieldcurves
BugReports: https://github.com/charlescoverdale/yieldcurves/issues
NeedsCompilation: no
Packaged: 2026-03-23 19:14:42 UTC; charlescoverdale
Author: Charles Coverdale [aut, cre]
Maintainer: Charles Coverdale <charlesfcoverdale@gmail.com>
Repository: CRAN
Date/Publication: 2026-03-26 10:50:02 UTC
Built: R 4.6.0; ; 2026-04-27 05:32:15 UTC; unix
