Skip to main content

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

Project description

solvency2-data

Pypi Version Build Status Documentation Status License

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.

click for animation

Features

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

Overview

To install the package enter the following in the command prompt.

pip install solvency2-data

Contributors

Willem Jan Willemse <https://github.com/wjwillemse>

History

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 0.1.18 (2022-1-31): smith wilson code added to package 0.1.19 (2022-2-17): alternative extrapolation method from DNB implemented

Project details


Download files

Download the file for your platform. If you're not sure which to choose, learn more about installing packages.

Source Distributions

No source distribution files available for this release. See tutorial on generating distribution archives.

Built Distribution

solvency2_data-0.1.19-py2.py3-none-any.whl (18.8 kB view hashes)

Uploaded py2 py3

Supported by

AWS AWS Cloud computing Datadog Datadog Monitoring Facebook / Instagram Facebook / Instagram PSF Sponsor Fastly Fastly CDN Google Google Object Storage and Download Analytics Huawei Huawei PSF Sponsor Microsoft Microsoft PSF Sponsor NVIDIA NVIDIA PSF Sponsor Pingdom Pingdom Monitoring Salesforce Salesforce PSF Sponsor Sentry Sentry Error logging StatusPage StatusPage Status page