This project includes code and data for yield curve and FX market data analysis.
It is intended to provide a data set for real-world measure calibration of cross-asset hybrid models in the DiffFusion.jl exosure simulation framework.
We use publicly available data from
Input data sources and data consolidation is implemented in ParseInputData notebook.
Consolidated data are stored in data_set_full.csv.xz.
We analyse time series data and estimate historically observed volatility and correlation.
Analysis is implemented in VolatilityAndCorrelations.
The project contains data for FX rates and interest rates for EUR, USD and GBP.
Normalised time series of FX rate market data. |
Normalised time series of interest rates market data. |