solvency2-data 0.1.19

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

solvency2-data

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.

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>

Peter Davidson <https://github.com/pdavidsonFIA>

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