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) .


Reference manual

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0.1.5 by Martin Geissmann, 6 months ago

Browse source code at

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