Skip to main content
Join the official 2019 Python Developers SurveyStart the survey!

A cursory look at the dynamics of zero coupon bond yield curves.

Project description

Yield Curve Dynamics Documentation Status

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:
  • Slides


This package was created with Cookiecutter and the audreyr/cookiecutter-pypackage project template.


0.2.0 (2019-04-03)

  • Ready for lightning talk

0.1.0 (2019-03-21)

  • First release on PyPI.

Project details

Download files

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

Files for yield-curve-dynamics, version 0.2.0
Filename, size File type Python version Upload date Hashes
Filename, size yield_curve_dynamics-0.2.0-py2.py3-none-any.whl (9.0 kB) File type Wheel Python version py2.py3 Upload date Hashes View hashes
Filename, size yield_curve_dynamics-0.2.0.tar.gz (136.0 kB) File type Source Python version None Upload date Hashes View hashes

Supported by

Elastic Elastic Search Pingdom Pingdom Monitoring Google Google BigQuery Sentry Sentry Error logging AWS AWS Cloud computing DataDog DataDog Monitoring Fastly Fastly CDN SignalFx SignalFx Supporter DigiCert DigiCert EV certificate StatusPage StatusPage Status page