Package: yrnd
Title: Extracts Risk Neutral Densities of Prices, Money Market Rates
        and Government Bond Yields from Interest Rates Futures Options
        Prices
Version: 0.1.4
Authors@R: 
    person("William", "Arrata", , "william.arrata@gmail.com", role = c("aut", "cre"))
Description: Provides with parametric Risk Neutral Densities (RNDs) and
        cumulative densities of futures prices on fixed-income
        products. It relies on options on Short Term Interest Rate
        futures or options on government bond futures. It models the
        futures price as a mixture of lognormal densities. It also
        provides with the RNDs and cumulative densities of the money
        market rate or the government bond yield inferred from the
        futures price, using the RND of the futures price. It
        eventually provides with the probability attached to each bond
        in the delivery basket of a government bond futures to be the
        cheapest at maturity, using the RND of the bond futures price.
        The package leverages on the works of Melick, W. R. and Thomas,
        C. P. (1997) <doi:10.2307/2331318> and B. Bahra (1998)
        <doi:10.2139/ssrn.77429>.
License: GPL-3
Encoding: UTF-8
RoxygenNote: 7.3.3
Imports: dplyr, ggplot2, lubridate, Rblpapi, scales, stats, tibble,
        tvm, utils, zoo
Suggests: knitr, rmarkdown
VignetteBuilder: knitr
NeedsCompilation: no
Packaged: 2026-06-14 19:39:25 UTC; 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: 2026-06-14 18:48:19 UTC
RemoteUrl: https://github.com/cran/yrnd
RemoteRef: HEAD
RemoteSha: 47ff0c00f534c5fb3348c01c970e2defe35a1388