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Code and data for yield curve and FX market data analysis

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MarketData

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

Checkout the analysis via Binder.

Input Data

Input data sources and data consolidation is implemented in ParseInputData notebook.

Consolidated data are stored in data_set_full.csv.xz.

Data Analysis

We analyse time series data and estimate historically observed volatility and correlation.

Analysis is implemented in VolatilityAndCorrelations.

Available Data

The project contains data for FX rates and interest rates for EUR, USD and GBP.

FX Rates Time Series
Normalised time series of FX rate market data.
Interest Rates Time Series
Normalised time series of interest rates market data.

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Code and data for yield curve and FX market data analysis

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