{
  "_id": "6ae7fc7b9ceaa78f2009b0c6",
  "Package": "yrnd",
  "Title": "Extracts Risk Neutral Densities of Prices, Money Market Rates\nand Government Bond Yields from Interest Rates Futures Options\nPrices",
  "Version": "0.1.8",
  "Authors@R": "person(\"William\", \"Arrata\", , \"william.arrata@gmail.com\", role = c(\"aut\", \"cre\"))",
  "Description": "Provides with parametric Risk Neutral Densities (RNDs) and\ncumulative densities of futures prices on fixed-income\nproducts, relying on options on Short Term Interest Rate\nfutures or options on government bond futures. It models the\nfutures price at options' maturity as a mixture of lognormal\ndensities. Leveraging on this, the package provides with the\nRNDs and cumulative densities of the money market rate or the\ngovernment bond yield inferred from the futures price, using\nthe RND of the futures price. The package also extracts from\noptions prices on bond futures in one go the RND of the\ncheapest-to-deliver (ctd) bond repo rate from options' to\nfutures' maturity and the RND of the ctd bond yield at options'\nmaturity. The package also provides with the probability\nattached to each bond in the delivery basket of a government\nbond futures to be the cheapest at options' maturity from an\nexamination of either the implied repo rate or the net basis of\nbonds in the delivery basket, as well as the value of the\nquality option embedded in the futures contract. At last, the\npackage provides with the non parametric distribution of the\nspread between either two bond yields or two bond repo rates,\nusing two RNDs based on options on bond futures of the same\nmaturity. The package leverages on the works of Melick, W. R.\nand Thomas, C. P. (1997) <doi:10.2307/2331318> and B. Bahra\n(1998) <doi:10.2139/ssrn.77429>.",
  "License": "GPL-3",
  "Encoding": "UTF-8",
  "RoxygenNote": "7.3.3",
  "VignetteBuilder": "knitr",
  "NeedsCompilation": "no",
  "Packaged": {
    "Date": "2026-11-02 02:54:47 UTC",
    "User": "root"
  },
  "Author": "William Arrata [aut, cre]",
  "Maintainer": "William Arrata <william.arrata@gmail.com>",
  "Config/pak/sysreqs": "libicu-dev",
  "Repository": "https://williamarrata.r-universe.dev",
  "Date/Publication": "2026-11-01 18:40:02 UTC",
  "RemoteUrl": "https://github.com/cran/yrnd",
  "RemoteRef": "HEAD",
  "RemoteSha": "b626f98923fe0cb1f73c03fec51ee1951ab6900b",
  "_user": "williamarrata",
  "_type": "src",
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  "_expires": "2027-02-10T02:59:05.000Z",
  "_created": "2026-11-02T02:54:47.000Z",
  "_published": "2026-11-02T02:59:07.211Z",
  "_upstream": "https://github.com/cran/yrnd",
  "_status": "success",
  "_maintainer": {
    "name": "William Arrata",
    "email": "william.arrata@gmail.com",
    "login": "williamarrata",
    "linkedin": "in/william-arrata-cfa-4a0a08",
    "description": "Asset Liability Manager, Banque de France",
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    "bond_future_charac_bbg",
    "bond_future_price",
    "bond_yield_spread",
    "ctd_bond_yield",
    "deliv_bonds_charac_bbg",
    "option_prices_bbg",
    "proba_ctd",
    "proba_ctd_irr",
    "proba_ctd_opt",
    "sc_repo_spread",
    "stir_future_charac_bbg",
    "stir_future_price",
    "stir_rate"
  ],
  "_help": [
    {
      "page": "bond_fut_irr_ytm",
      "title": "bond_fut_irr_ytm",
      "topics": [
        "bond_fut_irr_ytm"
      ]
    },
    {
      "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": "bond_yield_spread",
      "title": "bond_yield_spread",
      "topics": [
        "bond_yield_spread"
      ]
    },
    {
      "page": "ctd_bond_yield",
      "title": "ctd_bond_yield",
      "topics": [
        "ctd_bond_yield"
      ]
    },
    {
      "page": "deliv_bonds_charac_bbg",
      "title": "deliv_bonds_charac_bbg",
      "topics": [
        "deliv_bonds_charac_bbg"
      ]
    },
    {
      "page": "option_prices_bbg",
      "title": "option_prices_bbg",
      "topics": [
        "option_prices_bbg"
      ]
    },
    {
      "page": "proba_ctd",
      "title": "proba_ctd",
      "topics": [
        "proba_ctd"
      ]
    },
    {
      "page": "proba_ctd_irr",
      "title": "proba_ctd_irr",
      "topics": [
        "proba_ctd_irr"
      ]
    },
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      "title": "proba_ctd_opt",
      "topics": [
        "proba_ctd_opt"
      ]
    },
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      "title": "sc_repo_spread",
      "topics": [
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      ]
    },
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      "title": "stir_future_charac_bbg",
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        "stir_future_charac_bbg"
      ]
    },
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      "page": "stir_future_price",
      "title": "stir_future_price",
      "topics": [
        "stir_future_price"
      ]
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      "title": "stir_rate",
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      ]
    }
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      "filename": "yrnd-functions.html",
      "title": "yrnd-functions",
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      "headings": [
        "yrnd",
        "stir_future_price provides with the risk neutral density at options' maturity of the STIR futures price, using options on the STIR futures",
        "ctd_bond_yield provides with the risk neutral density at options' maturity of the yield to maturity of the Cheapest-to-Deliver Bond in a futures contract, using options on the government bond futures. The current CtD is assumed to be the CtD at futures' maturity. This is achieved by considering a \"term cash and carry relationship\" between the Cheapest-to-Deliver Bond and the futures contract, holding constant the CtD repo rate at options' maturity.",
        "bond_fut_irr_ytm extracts in one go from options prices on a bond futures, for any bond in the delivery basket, the RND of its implied repo rate and the RND of its yield to maturity. To do so, the bond price at options' maturity and the bond repo price at options' maturity are both modeled with a mixture of two lognormal laws, with a dependency. Then, the \"expected cash and carry relationship\" at options' maturity between the bond and the futures contract is introduced. The RND of the STIR futures contract of the same currency and approximate same maturity is used to set the initial values of the volatility of the log returns of the repo asset price in the optimization phase.",
        "proba_ctd_opt calculates, for each bond in the delivery basket of a government bond futures contact, its probability to be the cheapest to deliver bond at options' maturity, relying successively on a ranking of the net basis and on a ranking of the implied repo rate of each bond in the delivery basket at options' maturity. It also quantifies the value of the quality option of the futures contract."
      ],
      "created": "2026-07-21 20:38:56",
      "modified": "2026-11-01 18:40:02",
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