https://github.com/luphord/yield_curve_dynamics

A cursory look at the dynamics of zero coupon bond yield curves.
https://github.com/luphord/yield_curve_dynamics

jupyter-notebook pca python3 visualization yield-curve

Last synced: about 2 months ago
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A cursory look at the dynamics of zero coupon bond yield curves.

• Host: GitHub
• URL: https://github.com/luphord/yield_curve_dynamics
• Owner: luphord
• License: mit
• Created: 2019-03-17T11:47:16.000Z (almost 6 years ago)
• Default Branch: master
• Last Pushed: 2022-12-26T20:47:08.000Z (almost 2 years ago)
• Last Synced: 2024-04-28T19:03:58.285Z (8 months ago)
• Topics: jupyter-notebook, pca, python3, visualization, yield-curve
• Language: Jupyter Notebook
• Size: 11.2 MB
• Stars: 11
• Watchers: 0
• Forks: 8
• Open Issues: 1
• Metadata Files:
  • Readme: README.rst
  • Changelog: HISTORY.rst
  • Contributing: CONTRIBUTING.rst
  • License: LICENSE

Awesome Lists containing this project

README

        
====================

Yield Curve Dynamics

====================

.. image:: https://img.shields.io/pypi/v/yield_curve_dynamics.svg

        :target: https://pypi.python.org/pypi/yield_curve_dynamics

.. image:: https://travis-ci.com/luphord/yield_curve_dynamics.svg

        :target: https://travis-ci.com/luphord/yield_curve_dynamics

.. image:: https://readthedocs.org/projects/yield-curve-dynamics/badge/?version=latest

        :target: https://yield-curve-dynamics.readthedocs.io/en/latest/?badge=latest

        :alt: Documentation Status

A cursory look at the dynamics of zero coupon bond yield curves.

* Data source: Zero coupon bond yield curve data published by European Central Bank (ECB)

* Visualization: Animated plot shows a video of historic yield curves

* Analysis: Principal Component Analysis (PCA) is applied to (shifted) log diffs of keyrates in order to reduce the dimensionality of curve movements

* Key insight: Three factors (parallel shift, steepening and hump) can capture the majority of curve movements

* Structure: Functionality is contained in the `yield_curve_dynamics` Python package, presentation is performed using Jupyter notebooks in the `notebooks` directory

* Free software: MIT license

* Documentation: https://yield-curve-dynamics.readthedocs.io.

* Slides_

.. _Slides: https://rawcdn.githack.com/luphord/yield_curve_dynamics/5d435148137b815b2bcc9d48244a1356253defd1/lightning_talk_2019-04-04/Yield%20Curve%20Dynamics.slides.html

Credits

-------

This package was created with Cookiecutter_ and the `audreyr/cookiecutter-pypackage`_ project template.

.. _Cookiecutter: https://github.com/audreyr/cookiecutter

.. _`audreyr/cookiecutter-pypackage`: https://github.com/audreyr/cookiecutter-pypackage