# treasuryTR

R Package for generating Total Returns (TR) from bond yield data with
fixed maturity, e.g. reported treasury yields.

## Intro

While Treasury yields are easy to come by (see FRED), total return (TR) indices
are not. The latter is earned by investors, and is therefore of
paramount importance e.g. when simulating a treasury-stock diversified
portfolio. A supplier for proprietary TR Treasury index data is CRSP. Their data can be purchased or
accesses trough a handful of commercial research platforms.

Swinkels (2019) compute returns from publicly available
yield-to-maturity data using *standard (fixed-income) textbook
formulas*. See also the following post on quant.stackexchange:
https://quant.stackexchange.com/a/57403

## Installation

From CRAN:

`install.packages("treasuryTR")`

From Github:

```
# install.packages("devtools")
devtools::install_github("mgei/treasuryTR")
```

## Use

Vignette:
https://cran.r-project.org/web/packages/treasuryTR/vignettes/treasuryTR.html

## References

Swinkels, Laurens. 2019. “Treasury Bond Return Data Starting in
1962.” Data 4 (3): 91.