A cursory look at the dynamics of zero coupon bond yield curves.
Project description
Yield Curve Dynamics
A cursory look at the dynamics of zero coupon bond yield curves.
Data source: Zero coupon bond yield curve data published by European Central Bank (ECB)
Visualization: Animated plot shows a video of historic yield curves
Analysis: Principal Component Analysis (PCA) is applied to (shifted) log diffs of keyrates in order to reduce the dimensionality of curve movements
Key insight: Three factors (parallel shift, steepening and hump) can capture the majority of curve movements
Structure: Functionality is contained in the yield_curve_dynamics Python package, presentation is performed using Jupyter notebooks in the notebooks directory
Free software: MIT license
Documentation: https://yield-curve-dynamics.readthedocs.io.
Credits
This package was created with Cookiecutter and the audreyr/cookiecutter-pypackage project template.
History
0.2.0 (2019-04-03)
Ready for lightning talk
0.1.0 (2019-03-21)
First release on PyPI.
Release history Release notifications | RSS feed
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