{ "_id": "6a1f2990b401979e734240b8", "Package": "yrnd", "Title": "Extracts Risk Neutral Densities of Prices, Money Market Rates\nand Government Bond Yields from Interest Rates Futures Options\nPrices", "Version": "0.1.3", "Authors@R": "person(\"William\", \"Arrata\", , \"william.arrata@gmail.com\", role = c(\"aut\", \"cre\"))", "Description": "Provides with parametric risk neutral densities and\ncumulative densities for futures prices on fixed-income\nproducts. It relies on options on Short Term Interest Rate\nfutures contracts or options on government bond futures\ncontracts. It models the price of the underlying asset as a\nmixture of either two or three lognormal densities. It also\noffers new functions which provide with risk neutral densities\nand cumulative densities of the money market rate or the\ngovernment bond yield inferred from the futures contract's\nprice, using the density of the futures price. The package\nleverages on the works of Melick, W. R. and Thomas, C. P.\n(1997) and B. Bahra (1998)\n.", "License": "GPL-3", "Encoding": "UTF-8", "RoxygenNote": "7.3.3", "VignetteBuilder": "knitr", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-16 00:13:00 UTC", "User": "root" }, "Author": "William Arrata [aut, cre]", "Maintainer": "William Arrata ", "Config/pak/sysreqs": "libicu-dev", "Repository": "https://williamarrata.r-universe.dev", "Date/Publication": "2026-05-15 23:16:16 UTC", "RemoteUrl": "https://github.com/cran/yrnd", "RemoteRef": "HEAD", "RemoteSha": "932533ec1c6e12db3b729b766442a234dda5d053", "MD5sum": "af7d8ce62f236f6e7e62c848299fda0c", "_user": "williamarrata", "_type": "src", "_file": "yrnd_0.1.3.tar.gz", "_fileid": "c0f1fb04f52a3a5a2c9438d8ed7e4e05b866f598376d724ba6268ae0e9a0d55e", "_filesize": 2349896, "_sha256": "c0f1fb04f52a3a5a2c9438d8ed7e4e05b866f598376d724ba6268ae0e9a0d55e", "_created": "2026-05-16T00:13:00.000Z", "_published": "2026-06-02T19:05:52.167Z", "_distro": "noble", "_jobs": [ { "job": 79150308854, "time": 163, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7028761062" }, { "job": 79150309655, "time": 153, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7028759813" }, { "job": 79150309455, "time": 125, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "7028755772" }, { "job": 79150308844, "time": 87, "config": "macos-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "7028750210" }, { "job": 79150308874, "time": 283, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7028735982" }, { "job": 79150308204, "time": 135, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7367269573" }, { "job": 79150308970, "time": 122, "config": "windows-devel", "r": "4.7.0", "check": "OK", "artifact": "7028755452" }, { "job": 79150309539, "time": 125, "config": "windows-oldrel", "r": "4.5.3", "check": "OK", "artifact": "7028755774" }, { "job": 79150309225, "time": 286, "config": "windows-release", "r": "4.6.0", "check": "OK", "artifact": "7028777749" } ], "_buildurl": "https://github.com/r-universe/williamarrata/actions/runs/25947357679", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/cran/yrnd", "_commit": { "id": "932533ec1c6e12db3b729b766442a234dda5d053", "author": "William Arrata ", "committer": "cran-robot ", "message": "version 0.1.3\n", "time": 1778886976 }, "_maintainer": { "name": "William Arrata", "email": "william.arrata@gmail.com", "login": "williamarrata", "linkedin": "in/william-arrata-cfa-4a0a08", "uuid": 125134722 }, "_registered": true, "_dependencies": [ { "package": "dplyr", "role": "Imports" }, { "package": "ggplot2", "role": "Imports" }, { "package": "lubridate", "role": "Imports" }, { "package": "Rblpapi", "role": "Imports" }, { "package": "scales", "role": "Imports" }, { "package": "stats", "role": "Imports" }, { "package": "tibble", "role": "Imports" }, { "package": "tvm", "role": "Imports" }, { "package": "utils", "role": "Imports" }, { "package": "zoo", "role": "Imports" }, { "package": "knitr", "role": "Suggests" }, { "package": "rmarkdown", "role": "Suggests" } ], "_owner": "cran", "_selfowned": true, "_usedby": 0, "_updates": [ { "week": "2026-08", "n": 1 }, { "week": "2026-11", "n": 1 }, { "week": "2026-16", "n": 1 }, { "week": "2026-20", "n": 1 } ], "_tags": [ { "name": "0.1.0", "date": "2026-02-18" }, { "name": "0.1.1", "date": "2026-03-15" }, { "name": "0.1.2", "date": "2026-04-15" }, { "name": "0.1.3", "date": "2026-05-15" } ], "_stars": 0, "_contributors": [ { "user": "williamarrata", "count": 4, "uuid": 125134722 } ], "_userbio": { "uuid": 125134722, "type": "user", "name": "William Arrata", "description": "Asset Liability Manager, Banque de France" }, "_downloads": { "count": 516, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/yrnd" }, "_searchresults": 0, "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/yrnd.html", "manual.pdf" ], "_realowner": "williamarrata", "_cranurl": false, "_releases": [ { "version": "0.1.0", "date": "2026-02-18" }, { "version": "0.1.1", "date": "2026-03-15" }, { "version": "0.1.2", "date": "2026-04-15" }, { "version": "0.1.3", "date": "2026-05-15" } ], "_exports": [ "bond_future_charac_bbg", "bond_future_price", "ctd_bond_yield", "option_prices_bbg", "stir_future_charac_bbg", "stir_future_price", "stir_rate" ], "_help": [ { "page": "bond_future_charac_bbg", "title": "bond_future_charac_bbg", "topics": [ "bond_future_charac_bbg" ] }, { "page": "bond_future_price", "title": "bond_future_price", "topics": [ "bond_future_price" ] }, { "page": "ctd_bond_yield", "title": "ctd_bond_yield", "topics": [ "ctd_bond_yield" ] }, { "page": "option_prices_bbg", "title": "option_prices_bbg", "topics": [ "option_prices_bbg" ] }, { "page": "stir_future_charac_bbg", "title": "stir_future_charac_bbg", "topics": [ "stir_future_charac_bbg" ] }, { "page": "stir_future_price", "title": "stir_future_price", "topics": [ "stir_future_price" ] }, { "page": "stir_rate", "title": "stir_rate", "topics": [ "stir_rate" ] } ], "_rundeps": [ "BH", "cli", "cpp11", "dplyr", "farver", "generics", "ggplot2", "glue", "gtable", "isoband", "labeling", "lattice", "lifecycle", "lubridate", "magrittr", "pillar", "pkgconfig", "plyr", "R6", "Rblpapi", "RColorBrewer", "Rcpp", "reshape2", "rlang", "S7", "scales", "stringi", "stringr", "tibble", "tidyselect", "timechange", "tvm", "utf8", "vctrs", "viridisLite", "withr", "zoo" ], "_vignettes": [ { "source": "yrnd_functions.Rmd", "filename": "yrnd_functions.html", "title": "yrnd_functions", "engine": "knitr::rmarkdown", "headings": [ "yrnd", "stir_future_price provides with the risk neutral density of the STIR futures price, using options on the STIR futures", "stir_rate provides with the risk neutral density of the STIR rate implicit in the STIR futures price, using options on the STIR futures", "bond_future_price provides with the risk neutral density of the government bond futures price, using options on the government bond future", "ctd_bond_yield provides with the risk neutral density of the yield to maturity of the Cheapest-to-Deliver Bond in a futures contract, using options on the government bond futures" ], "created": "2026-02-18 19:20:02", "modified": "2026-05-15 23:16:16", "commits": 4 } ], "_score": 2.6020599913279625, "_indexed": true, "_nocasepkg": "yrnd", "_universes": [ "williamarrata" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "0.1.3", "date": "2026-05-16T00:15:35.000Z", "distro": "noble", "commit": "932533ec1c6e12db3b729b766442a234dda5d053", "fileid": "bc47c843a4f66501adf14b0fdadcccd971dd8ace0338e3998148d365c42745c4", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/williamarrata/actions/runs/25947357679" }, { "r": "4.6.0", "os": "linux", "version": "0.1.3", "date": "2026-05-16T00:15:25.000Z", "distro": "noble", "commit": "932533ec1c6e12db3b729b766442a234dda5d053", "fileid": "648124dced2a0ce2b744d1dadca3a374ab66d0e4961ead21170c56c87b37dbed", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/williamarrata/actions/runs/25947357679" }, { "r": "4.5.3", "os": "mac", "version": "0.1.3", "date": "2026-05-16T00:15:01.000Z", "commit": "932533ec1c6e12db3b729b766442a234dda5d053", "fileid": "f5de169a411616a75d741517b07cfe89f5d84c25b4c38fbc95c0d68e48e6d332", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/williamarrata/actions/runs/25947357679" }, { "r": "4.6.0", "os": "mac", "version": "0.1.3", "date": "2026-05-16T00:14:33.000Z", "commit": "932533ec1c6e12db3b729b766442a234dda5d053", "fileid": "f59b6fdfeea4796c81ee25298af929f0a0060155b57bde4e6e98c9cdb2554816", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/williamarrata/actions/runs/25947357679" }, { "r": "4.7.0", "os": "win", "version": "0.1.3", "date": "2026-05-16T00:14:46.000Z", "commit": "932533ec1c6e12db3b729b766442a234dda5d053", "fileid": "cf3285306e09fa35e0bc262f3d71140139dcb19a8c5a7bfcc680517ad8407ada", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/williamarrata/actions/runs/25947357679" }, { "r": "4.5.3", "os": "win", "version": "0.1.3", "date": "2026-05-16T00:14:47.000Z", "commit": "932533ec1c6e12db3b729b766442a234dda5d053", "fileid": "fa0412710942f04fcb427f371628a5db434f788e7c1c1471449df0c68a876f4b", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/williamarrata/actions/runs/25947357679" }, { "r": "4.6.0", "os": "win", "version": "0.1.3", "date": "2026-05-16T00:17:26.000Z", "commit": "932533ec1c6e12db3b729b766442a234dda5d053", "fileid": "93924aefdc9e7c03ac735409c077f3e52ce345eaedbc85ac0f69e9518de1d7b6", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/williamarrata/actions/runs/25947357679" }, { "r": "4.6.0", "os": "wasm", "version": "0.1.3", "date": "2026-06-02T19:05:29.000Z", "commit": "932533ec1c6e12db3b729b766442a234dda5d053", "fileid": "6706cd4c3aa24c937866c17594b3845fa283c8a57dea910c6178053a58e4e7fe", "status": "success", "buildurl": "https://github.com/r-universe/williamarrata/actions/runs/25947357679" } ] }