Package: yrnd
Title: Extracts Risk Neutral Densities of Prices, Money Market Rates
        and Government Bond Yields from Interest Rates Futures Options
        Prices
Version: 0.1.3
Authors@R: 
    person("William", "Arrata", , "william.arrata@gmail.com", role = c("aut", "cre"))
Description: 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) <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: 2026-05-15 17:11:13 UTC; William
Author: William Arrata [aut, cre]
Maintainer: William Arrata <william.arrata@gmail.com>
Repository: CRAN
Date/Publication: 2026-05-15 21:20:02 UTC
Built: R 4.5.2; ; 2026-05-15 22:05:58 UTC; unix
