treasuryTR: Generate Treasury Total Returns from Yield Data

Generate Total Returns (TR) from bond yield data with fixed maturity, e.g. reported treasury yields. The generated TR series are very close to alternative series that can be purchased (e.g. CRSP, Bloomberg), suggesting they are a high-quality alternative for those, see Swinkels (2019) <doi:10.3390/data4030091>.

Version:	0.1.5
Depends:	R (≥ 3.2.0), quantmod, zoo, dplyr
Imports:	xts (≥ 0.9-0), lubridate
Suggests:	PerformanceAnalytics, tidyr, ggplot2, dataseries, knitr, rmarkdown
Published:	2021-07-22
Author:	Martin Geissmann [aut, cre]
Maintainer:	Martin Geissmann <mg at econovo.ch>
License:	MIT + file LICENSE
URL:	https://github.com/mgei/treasuryTR
NeedsCompilation:	no
Materials:	README
CRAN checks:	treasuryTR results

Documentation:

Reference manual:	treasuryTR.pdf
Vignettes:	treasuryTR

Downloads:

Package source:	treasuryTR_0.1.5.tar.gz
Windows binaries:	r-devel: treasuryTR_0.1.5.zip, r-release: treasuryTR_0.1.5.zip, r-oldrel: treasuryTR_0.1.5.zip
macOS binaries:	r-release (arm64): treasuryTR_0.1.5.tgz, r-oldrel (arm64): treasuryTR_0.1.5.tgz, r-release (x86_64): treasuryTR_0.1.5.tgz, r-oldrel (x86_64): treasuryTR_0.1.5.tgz
Old sources:	treasuryTR archive

Linking:

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