R Observatory: Metrics for yrnd version 0.1.7

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

yrnd

Extracts Risk Neutral Densities of Prices, Money Market Rates and Government Bond Yields from Interest Rates Futures Options Prices

0packages depend

3.2Kdownloads / year

–test coverage

13/13flavors OK

Overview

About

Maintained by William ArrataCRAN page ↗

Provides with parametric Risk Neutral Densities (RNDs) and cumulative densities of futures prices on fixed-income products. It relies on options on Short Term Interest Rate futures or options on government bond futures. It models the futures price at options' maturity as a mixture of lognormal densities. Leveraging on this, the package provides with the RNDs and cumulative densities of the money market rate or the government bond yield inferred from the futures price, using the RND of the futures price. The package also extracts from options prices on bond futures in one go the RND of the cheapest-to-deliver (ctd) bond repo rate from options' to futures' maturity and the RND of the ctd bond yield at options' maturity. The package also provides with the probability attached to each bond in the delivery basket of a government bond futures to be the cheapest at options' maturity from an examination of either the implied repo rate or the net basis of bonds in the delivery basket. At last, the package provides with the non parametric distribution of the spread between two bond yields, using two RNDs based on options on bond futures of the same maturity. 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.

Install

R (CRAN)Ubuntu (r2u)openSUSE (OBS)

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

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

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-yrnd

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled. We list this channel from recorded r2u download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

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

# 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-yrnd

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed). We list this channel from recorded autoCRAN download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

Health

CRAN checks

13OK

CRAN check page ↗

Slowest check: 11.2 min · r-oldrel-windows-x86_64

Status changes

OK13 OK2026-08-04
NOTE12 OK, 1 NOTE2026-08-01
OK13 OK2026-06-27
ERROR12 OK, 1 ERROR2026-06-21
OK12 OK2026-04-25

Show 2 earlier changesHide 2 earlier changes

NOTE13 OK, 1 NOTE2026-04-16
OK14 OK2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 0.1.7

READMENoVignettesYes · 1 · dynamicNEWSNoCitation fileNoWebsitenot declared in DESCRIPTION

Help pages: 13
Examples that run: 0%9 only when donttest examples are enabled (R CMD check --as-cran) · 4 never run
Exported functions with examples: 100%
Documented parameters: 100%
Return-value docs: 100%
Help pages citing references: 0%

Vignettes (1)

yrnd-functions HTML

How these are measured

Downloads

3.2K

CRAN downloads in the past year

Rank #12,350 · ~9/day · ~266/mo

Releases R versions

Daily download trend is not available in this view yet.

37130 days

89590 days

3.2K1 year

Compare downloads with other packages →

Also on86 r2u3 autocran

How downloads are counted

Dependencies

Declared dependencies

11 external dependencies (excludes base and recommended)

Installing yrnd adds 37 packages (21 with compiled code, 45 MB of source tarballs). Heaviest: BH 14 MB, stringi 11 MB, ggplot2 6.0 MB.

Depends (0)

none

Imports (12)

DEoptim dplyr ggplot2 lubridateMASSRblpapi scalesstatstibble tvmutilszoo

LinkingTo (0)

none

Suggests (2)

knitr rmarkdown

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

How these are counted

Code & Tests

People & History

People (1)

William Arrata

Author, Maintainer since 0.1.0 (2026)

Releases (8)

Pick two releases to compare their code metrics.

0.1.7Latest
record
2026-09-30 · current release · diff ↗ ·
added 1 export
proba_ctd_irr
0.1.6
record
2026-08-28 · diff ↗ ·
added 1 export
bond_fut_irr_ytm
0.1.5
record
2026-07-21 · diff ↗ ·
added 2 exports
bond_yield_spread, proba_ctd_opt
0.1.4
record
2026-06-14 · diff ↗ ·
added 2 exports
deliv_bonds_charac_bbg, proba_ctd
0.1.3
record
2026-05-15 · diff ↗ ·
added 1 export
stir_future_charac_bbg
R
R 4.6.0 released · 2026-04-24
0.1.2
record
2026-04-15 · diff ↗ ·
added 1 export
option_prices_bbg
0.1.1
record
2026-03-15 · diff ↗ ·
added 1 export
bond_future_charac_bbg
0.1.0
record
2026-02-18
R
R 4.5.0 released · 2025-04-11

Package metadata

First published: 2026-02-18
Total releases: 8 / 1 yrs
License: GPL-3 OSI
Download size: 107 KB

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("yrnd")

Format

Arrata, W. (2026). yrnd: Extracts Risk Neutral Densities of Prices, Money Market Rates and Government Bond Yields from Interest Rates Futures Options Prices (Version 0.1.7) [Computer software]. https://doi.org/10.32614/CRAN.package.yrnd

This package has no citation file, so citation() returns this entry built from DESCRIPTION.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for yrnd version 0.1.7 [Data set]. HJJB, LLC. Data release v2026-10-21. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-21, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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