Functionality

You can use correlationMatrix to

• Estimate correlation matrices from historical timeseries using a variety of models

• Visualize correlation matrices

• Manipulate correlation matrices (fix problematic matrices, stress matrices etc)

• Provide standardized data sets for testing

NB: correlationMatrix is still in active development. If you encounter issues please raise them in our github repository

Architecture

• correlationMatrix supports file input/output in json and csv formats

• provides intuitive objects for handling correlation matrices individually and as sets (based on numpy)

• supports visualization using matplotlib

Links to other open source software

• correlationMatrix makes use of lower level methods available in numpy, scipy and statsmodels

• There is a sister project for estimating transition rates transitionMatrix

Dependencies

• correlationMatrix requires Python 3

• It depends on numerical and data processing Python libraries (Numpy, Scipy, Pandas, stastmodels)

• The Visualization API depends on Matplotlib

• The precise dependencies are listed in the requirements.txt file.

• correlationMatrix may work with earlier versions of these packages but this has not been tested.

From PyPi

TODO

pip3 install pandas
pip3 install matplotlib
pip3 install correlationMatrix

From sources

Download the sources to your preferred directory:

git clone https://github.com/open-risk/correlationMatrix

Using virtualenv

It is advisable to install the package in a virtualenv so as not to interfere with your system’s python distribution

virtualenv -p python3 tm_test
source tm_test/bin/activate

If you do not have pandas already installed make sure you install it first (will also install numpy)

pip3 install pandas
pip3 install matplotlib
pip3 install -r requirements.txt

Finally issue the install command and you are ready to go!

python3 setup.py install

File structure

The distribution has the following structure:

Testing

It is a good idea to run the test-suite. Before you get started:

• Adjust the source directory path in correlationMatrix/__init__ and then issue the following in at the root of the distribution

• Unzip the data files in the datasets directory

python3 test.py