Package for reading the Solvency 2 Risk-Free Interest Rate Term Structures from the zip-files on the EIOPA website and deriving the term structures for alternative extrapolations
Package for reading the Solvency 2 Risk-Free Interest Rate Term Structures from the zip-files on the EIOPA website and deriving the term structures for alternative extrapolations.
- Free software: MIT/X license
- Documentation: https://solvency2-data.readthedocs.io.
Here is what the package does:
- Downloading and extracting the zip-files from the EIOPA website
- Store the financial data in a local database
- Reading the term structures from Excel-files into Pandas DataFrames
- Deriving term structures with other parameters for alternative extrapolations
To install the package enter the following in the command prompt.
pip install solvency2-data
0.1.0 (2019-10-27): Development releases. 0.1.1 (2019-11-6): First release on PyPI. 0.1.3: First working version. 0.1.4 (2019-11-28): Solvency 2 shocked curves added. 0.1.5 (2020-1-28): Spreads from PD_Cod Excel file added 0.1.7 (2020-2-23): Broken links from EIOPA website fixed 0.1.8 (2020-3-14): Configuration file added to specify data directories 0.1.11 (2020-9-26): Bug fixes 0.1.13 (2020-9-27): Code satisfies Flake8, solvency2_data.cfg added to pypi package 0.1.14 (2021-1-25): Bug nested module solved 0.1.15 (2021-1-29): Bug with pypi solved 0.1.16 (2022-1-20): major update with database object to store downloaded rfr’s
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