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) .


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install.packages("treasuryTR")

0.1.4 by Martin Geissmann, 24 days ago


https://github.com/mgei/treasuryTR


Browse source code at https://github.com/cran/treasuryTR


Authors: Martin Geissmann [aut, cre]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports xts, lubridate

Depends on quantmod, zoo, dplyr

Suggests PerformanceAnalytics, tidyr, ggplot2, dataseries, knitr, rmarkdown


See at CRAN