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# CITATION file created with {cffr} R package
# See also: https://docs.ropensci.org/cffr/
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cff-version: 1.2.0
message: 'To cite package "yrnd" in publications use:'
type: software
license: GPL-3.0-only
title: 'yrnd: Extracts Risk Neutral Densities of Prices, Money Market Rates and Government
  Bond Yields from Interest Rates Futures Options Prices'
version: 0.1.3
doi: 10.32614/CRAN.package.yrnd
abstract: Provides with parametric risk neutral densities and cumulative densities
  for futures prices on fixed-income products. It relies on options on Short Term
  Interest Rate futures contracts or options on government bond futures contracts.
  It models the price of the underlying asset as a mixture of either two or three
  lognormal densities. It also offers new functions which provide with risk neutral
  densities and cumulative densities of the money market rate or the government bond
  yield inferred from the futures contract's price, using the density of the futures
  price. The package leverages on the works of Melick, W. R. and Thomas, C. P. (1997)
  <https://doi.org/10.2307/2331318> and B. Bahra (1998) <https://doi.org/10.2139/ssrn.77429>.
authors:
- family-names: Arrata
  given-names: William
  email: william.arrata@gmail.com
repository: https://williamarrata.r-universe.dev
commit: 932533ec1c6e12db3b729b766442a234dda5d053
date-released: '2026-05-15'
contact:
- family-names: Arrata
  given-names: William
  email: william.arrata@gmail.com