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ustreasuries 0.0.0.9006

Seventh Development Release 0.0.0.9006

  • Added vignette veronesi-ch02, all the examples and figures from Chapter 2 of Veronesi

  • Added vignette veronesi-ch02-Nelson-Seigel, the appendix to Veronesi Chapter 2 showing the Nelson Seigel and Svensson term structure models

  • Added Zbootstrap function

  • Modified FedInvestData function to start at the date following the last date in the historical file

  • Added data-raw/FedInvestHistory_bring_to_current.R to "top off" the FedInvest historical dataset so that as few POSTS as possible have to be made to bring it current

  • Added SP500 and SP500TR to download S&P 500 data

  • Added spot_rate function

  • Added CoerceFedInvest_xts function

Sixth Development Release 0.0.0.9005

  • Extensive miscellaneous cleanup and refactoring

  • Added rudimentary bond math

Fifth Development Release 0.0.0.9004

  • Added References in README and project documentation

  • Changed OptionGamma to Gamma

  • Changed USTreasuryRates to CMTrates

  • Changed CAGRd to CAGR, added geometric & continuous

  • Added discount factor functions

    • discount_factor, interest_rate

  • Cited my use of Prof. Jayanth R Varma's jrvFinance package Lic: GPL (>=2)

  • CMTrates modified to to add attr(..., "data.source") <- "CMT"

  • Added xts (>= 0.9.7) to DESCRIPTION Imports

  • Added Nelson.Siegel, NSrates, NSzeros, Nelson.Siegel.plot, NSzeros.plot

  • Added FedInvestData Return treasury bond price data from 2010

Fourth Development Release 0.0.0.9003

  • Added Implied Volatlity EuroCallVol / EuroPutVol

  • Added Time Value TimeValueCall / TimeValuePut

  • Updated black-scholes-merton vignette

  • Updated GitHub Wiki

Third Development Release 0.0.0.9002

  • Added Greeks

    • DeltaCall / DeltaPut
    • ThetaCall / ThetaPut
    • OptionGamma
    • Vega
    • RhoCall / RhoPut

  • Added Utilities

    • IntrinsicValueCall / IntrinsicValuePut
    • InTheMoneyCall / InTheMoneyPut

  • Added examples to ustreasuries.R

  • Updated black-scholes-merton vignette

  • Updated GitHub Wiki

Second Development Release 0.0.0.9001

  • Added all the Black Scholes Merton functions

    • Black-Scholes-Merton
      • EuroCall Calculate the price of a European call option with or without dividends
      • EuroPut Calculate the price of a European put option with or without dividends
    • Utility Functions
      • CAGR
        • CAGRd Calculate discrete Compound Annual Growth Rate
        • r_continuous Convert from discrete to continuous CAGR
        • r_discrete Convert from continuous to discrete CAGR
      • Put/Call Parity
        • CallParity Convert from a put-option price using put/call parity
        • PutParity Convert from a call-option price using put/call parity
      • Risk Neutral/Forwards
        • RiskNeutralProb Binomial tree risk-neutral probability
        • ForwardPrice Forward price with or without income or yield
        • ForwardRate Forward rate from Time1 to Time2 (discrete compounding)
    • Installed but not yet undocumented
      • CashCall
      • CashPut
      • AssetCall
      • AssetPut
      • American_Put_Binomial
      • DeltaCall
      • DeltaPut
      • OptionGamma
      • ThetaCall
      • ThetaPut
      • Vega
      • RhoFuturesCall
      • RhoFuturesPut
      • RhoFXCall
      • RhoFXPut
      • RhoCall
      • RhoPut
      • EuroCallVol
      • EuroPutlVol
      • Black_Scholes_Call_Implied_Vol
      • Black_Scholes_Put_Implied_Vol
      • ImpVolCall
      • ImpVolPut
      • American_Call_Dividend

  • Modified yield-curves vignette to show last three years

  • Added two vignettes for the derivatives functions

    • utilities examples of the utility functions
    • black-scholes-merton examples of options pricing

Initial Development Release 0.0.0.9000

  • Three fully-documented functions (roxygen2)

    • USTreasuryRates downloads a data.frame with daily data from 1962
    • PrintYieldCurves prints one or more yield curves
    • APY converts Constant-Maturity Treasury (CMT) yields to Annualized Percentage Yields (APY)

  • Three vignettes

    • cmt-rates a description of Constant Maturity and Annualized Percentage rates
    • yield-curves examples of downloading the data and printing yield curves for interesting periods in recent financial history
    • plot-10year a plot of the 10-year from 1962 to present

  • Unit Tests (testthat) devtools::test()

    • USTreasuryRates Test data download : ...............
    • APY Test APY : ..

  • R CMD RStudio Build>Check Package, devtools::check(), devtools::build_win()

    • No errors, warnings or notes
    • "Status: OK, R CMD check succeeded""

  • Initial upload to GitHub

    • devtools::install_github("grfiv/ustreasuries", build_vignettes=TRUE)
      successfully tested