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
- 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
- Development releases.
- First release on PyPI.
- First working version.
- Solvency 2 shocked curves added.
- Spreads from PD_Cod Excel file added
- Broken links from EIOPA website fixed
- Configuration file added to specify data directories
- Bug fixes
- Code satisfies Flake8
- solvency2_data.cfg added to pypi package
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