vasicekfit

0.2.0

Extended Vasicek Credit Loss Model with Macroeconomic Factors

0packages depend

1.1Kdownloads / year

75.8%test coverage

12/13checks pass

Overview

About

Maintained by Dmitriy MayorovFirst published 2026-04-282 releasesCRAN page ↗GitHub ↗

Fits the extended Vasicek single-factor credit loss model where the probability of default depends on macroeconomic covariates. Maximum likelihood estimates of all parameters, including asset value correlation, are obtained via closed-form probit-transformed OLS regression; see Mayorov (2026) doi:10.2139/ssrn.6506378 for derivation.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("vasicekfit", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("externalmemory/vasicekfit-cran-package")

Development version from externalmemory/vasicekfit-cran-package. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-vasicekfit

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-vasicekfit

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-vasicekfit

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

1NOTE12OK

Failing flavors

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

Slowest check: 54 s · r-oldrel-windows-x86_64

Code health

Yes

Tests · ratio 1.05

75.8%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-04-29
5 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 119 wordsVignettesNopkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 82%
Return-value docs: 100%
References docs: 60%

Downloads

1.1K

CRAN downloads in the past year

Rank #9,783 · ~3/day · ~94/mo

Releases R versions

Daily download trend is not available in this view yet.

20230 days

1.1K90 days

1.1K1 year

Compare downloads with other packages →

Also on51 r2u

Repository

GitHub ↗ externalmemory/vasicekfit-cran-package

0Stars

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0Open PRs

0Releases

Last activity 2026-07-06

Repository practices

Upstream repositoryBeta

2 development-tooling and community-health practices detected across 2 families in the upstream repository

Checks run against github.com/externalmemory/vasicekfit-cran-package on 2026-07-31.

Continuous integration (1)

GitHub Actions

CRAN release process (1)

cran-comments.md

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

3 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.5.0

Imports (1)

stats

LinkingTo (0)

none

Suggests (3)

testthat vasicek sandwich

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (1)

Maintainer (1)

Dmitriy Mayorov

Author, Maintainer

Authors (1)

Dmitriy Mayorov

Author, Maintainer

Package Timeline

2 releases. Pick two to compare their code metrics. R releases are shown for context.

0.2.0Latest
2026-07-11 · current release · diff ↗
0.1.0
2026-04-28
R
R 4.6.0 released · 2026-04-24

Package metadata

First published: 2026-04-28
Total releases: 2 / 1 yrs
License: MIT + file LICENSE OSI
Minimum R: ≥ 3.5.0
Download size: not tracked yet
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Empirical Finance

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