{"id":15703904,"url":"https://github.com/luphord/yield_curve_dynamics","last_synced_at":"2025-05-12T14:17:47.599Z","repository":{"id":45639425,"uuid":"176093386","full_name":"luphord/yield_curve_dynamics","owner":"luphord","description":"A cursory look at the dynamics of zero coupon bond yield curves.","archived":false,"fork":false,"pushed_at":"2022-12-26T20:47:08.000Z","size":11764,"stargazers_count":11,"open_issues_count":1,"forks_count":8,"subscribers_count":0,"default_branch":"master","last_synced_at":"2024-04-28T19:03:58.285Z","etag":null,"topics":["jupyter-notebook","pca","python3","visualization","yield-curve"],"latest_commit_sha":null,"homepage":null,"language":"Jupyter Notebook","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"mit","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/luphord.png","metadata":{"files":{"readme":"README.rst","changelog":"HISTORY.rst","contributing":"CONTRIBUTING.rst","funding":null,"license":"LICENSE","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null}},"created_at":"2019-03-17T11:47:16.000Z","updated_at":"2023-04-03T21:43:49.000Z","dependencies_parsed_at":"2023-01-31T01:31:03.349Z","dependency_job_id":null,"html_url":"https://github.com/luphord/yield_curve_dynamics","commit_stats":null,"previous_names":[],"tags_count":2,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/luphord%2Fyield_curve_dynamics","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/luphord%2Fyield_curve_dynamics/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/luphord%2Fyield_curve_dynamics/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/luphord%2Fyield_curve_dynamics/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/luphord","download_url":"https://codeload.github.com/luphord/yield_curve_dynamics/tar.gz/refs/heads/master","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":249902361,"owners_count":21342825,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["jupyter-notebook","pca","python3","visualization","yield-curve"],"created_at":"2024-10-03T20:08:07.700Z","updated_at":"2025-04-20T13:31:00.508Z","avatar_url":"https://github.com/luphord.png","language":"Jupyter Notebook","funding_links":[],"categories":[],"sub_categories":[],"readme":"====================\nYield Curve Dynamics\n====================\n\n\n.. image:: https://img.shields.io/pypi/v/yield_curve_dynamics.svg\n        :target: https://pypi.python.org/pypi/yield_curve_dynamics\n\n.. image:: https://travis-ci.com/luphord/yield_curve_dynamics.svg\n        :target: https://travis-ci.com/luphord/yield_curve_dynamics\n\n.. image:: https://readthedocs.org/projects/yield-curve-dynamics/badge/?version=latest\n        :target: https://yield-curve-dynamics.readthedocs.io/en/latest/?badge=latest\n        :alt: Documentation Status\n\n\n\n\nA cursory look at the dynamics of zero coupon bond yield curves.\n\n* Data source: Zero coupon bond yield curve data published by European Central Bank (ECB)\n* Visualization: Animated plot shows a video of historic yield curves\n* Analysis: Principal Component Analysis (PCA) is applied to (shifted) log diffs of keyrates in order to reduce the dimensionality of curve movements\n* Key insight: Three factors (parallel shift, steepening and hump) can capture the majority of curve movements\n* Structure: Functionality is contained in the `yield_curve_dynamics` Python package, presentation is performed using Jupyter notebooks in the `notebooks` directory\n* Free software: MIT license\n* Documentation: https://yield-curve-dynamics.readthedocs.io.\n* Slides_\n\n.. _Slides: https://rawcdn.githack.com/luphord/yield_curve_dynamics/5d435148137b815b2bcc9d48244a1356253defd1/lightning_talk_2019-04-04/Yield%20Curve%20Dynamics.slides.html\n\n\nCredits\n-------\n\nThis package was created with Cookiecutter_ and the `audreyr/cookiecutter-pypackage`_ project template.\n\n.. _Cookiecutter: https://github.com/audreyr/cookiecutter\n.. _`audreyr/cookiecutter-pypackage`: https://github.com/audreyr/cookiecutter-pypackage\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fluphord%2Fyield_curve_dynamics","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fluphord%2Fyield_curve_dynamics","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fluphord%2Fyield_curve_dynamics/lists"}