YieldCurve

Modelling and Estimation of the Yield Curve

v5.1 · Oct 2, 2022 · GPL (>= 2)

Description

Modelling the yield curve with some parametric models. The models implemented are: Nelson, C.R., and A.F. Siegel (1987) <doi: 10.1086/296409>, Diebold, F.X. and Li, C. (2006) <doi: 10.1016/j.jeconom.2005.03.005> and Svensson, L.E. (1994) <doi: 10.3386/w4871>. The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.

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CRAN Check Status

2 NOTE

12 OK

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Flavor	Status	Time
r-devel-linux-x86_64-debian-clang	NOTE	35s
r-devel-linux-x86_64-debian-gcc	NOTE	27.5s
r-devel-linux-x86_64-fedora-clang	OK	52.5s
r-devel-linux-x86_64-fedora-gcc	OK	54.6s
r-devel-macos-arm64	OK	13s
r-devel-windows-x86_64	OK	60s
r-oldrel-macos-arm64	OK
r-oldrel-macos-x86_64	OK	33s
r-oldrel-windows-x86_64	OK	68s
r-patched-linux-x86_64	OK	33.1s
r-release-linux-x86_64	OK	32.7s
r-release-macos-arm64	OK
r-release-macos-x86_64	OK	47s
r-release-windows-x86_64	OK	60s

Check details (14 non-OK)

NOTE r-devel-linux-x86_64-debian-clang

CRAN incoming feasibility

Maintainer: ‘Sergio Salvino Guirreri <sergioguirreri@gmail.com>’

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NOTE r-devel-linux-x86_64-debian-gcc

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Maintainer: ‘Sergio Salvino Guirreri <sergioguirreri@gmail.com>’

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OK r-devel-linux-x86_64-fedora-clang

OK r-devel-linux-x86_64-fedora-gcc

OK r-devel-macos-arm64

OK r-devel-windows-x86_64

OK r-oldrel-macos-arm64

OK r-oldrel-macos-x86_64

OK r-oldrel-windows-x86_64

OK r-patched-linux-x86_64

OK r-release-linux-x86_64

OK r-release-macos-arm64

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Check History

NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026

NOTE r-devel-linux-x86_64-debian-clang

CRAN incoming feasibility

Maintainer: ‘Sergio Salvino Guirreri <sergioguirreri@gmail.com>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: person(given = c("Sergio", "Salvino"),
                    family = "Guirreri",
                    role = c("aut", "cre"),
                    email = "sergioguirreri@gmail.com")
as necessary.

Package CITATION file contains call(s) to old-style personList() or
as.personList().  Please use c() on person objects instead.
Package CITATION file contains call(s

NOTE r-devel-linux-x86_64-debian-gcc

CRAN incoming feasibility

Maintainer: ‘Sergio Salvino Guirreri <sergioguirreri@gmail.com>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: person(given = c("Sergio", "Salvino"),
                    family = "Guirreri",
                    role = c("aut", "cre"),
                    email = "sergioguirreri@gmail.com")
as necessary.

Package CITATION file contains call(s) to old-style personList() or
as.personList().  Please use c() on person objects instead.
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Version History

new 5.1 Mar 9, 2026