Home

ustreasuries

An R-language package that provides Constant Maturity Treasury (CMT) rates for the US Treasury yield curve for every business day from January 1962 to the most-recently completed business day; as the Treasury Department adds data to their feed it is available to the users of this package in real time.

In addition, drawing primarily on Hull, 7th edition, ustreasuries includes all of the options-pricing models, all the greeks and a number of utility functions.

Treasury Rates

CMTrates function

• CMT Definition

PrintYieldCurves function

APY function

Derivative Pricing

Black Scholes Merton

Utility Functions