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.
- Slides
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