ilchen/US_Economic_Data_Analysis

Jupyter notebooks for analysis of US federal debt levels, tax revenues, budget deficit, evolution of yields on treasury borrowings, treasury yield curves and inflation expectations, unemployment and participation rates, quantitative easing, industrial production, personal consumption and savings. All analysis is based on data provided by FRED.

Language: Jupyter Notebook - Size: 142 MB - Last synced: 5 days ago - Pushed: 6 days ago - Stars: 32 - Forks: 9

quantgirluk/Yield-Curves-Visual

📈A dash app showing Interactive Visualisation of the Yield Curve UK and US

Language: Python - Size: 4.45 MB - Last synced: 19 days ago - Pushed: 19 days ago - Stars: 3 - Forks: 0

limchiahooi/us-treasury-yield-spread

This repo contains my U.S. Treasury Yield Spread project to visualize the U.S. Treasury Yield Spread chart using data downloaded from the U.S. Department of The Treasury website.

Language: Jupyter Notebook - Size: 57.8 MB - Last synced: 21 days ago - Pushed: 21 days ago - Stars: 5 - Forks: 2

felipenoris/InterestRates.jl

Interest Rates calculation, indexing and Term Structures.

Language: Julia - Size: 460 KB - Last synced: 9 days ago - Pushed: 12 months ago - Stars: 27 - Forks: 10

simicd/smith-wilson-py

Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rates

Language: Python - Size: 34.2 KB - Last synced: 17 days ago - Pushed: over 2 years ago - Stars: 18 - Forks: 5

open-source-modelling/Nelson_Siegel_Svansson_python_ita

Algoritmo popolare per adattare una curva dei rendimenti a dati osservati.

Language: Python - Size: 4.88 KB - Last synced: about 1 month ago - Pushed: 7 months ago - Stars: 2 - Forks: 1

luphord/nelson_siegel_svensson

Implementation of the Nelson-Siegel-Svensson interest rate curve model.

Language: Python - Size: 229 KB - Last synced: 2 months ago - Pushed: 7 months ago - Stars: 101 - Forks: 42

rafa-rod/pyettj

Capturar dados de curvas de juros (ettj) usadas no Brasil.

Language: Python - Size: 671 KB - Last synced: 15 days ago - Pushed: 4 months ago - Stars: 13 - Forks: 5

open-source-modelling/Nelson_Siegel_Svansson_python

Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.

Language: Python - Size: 41 KB - Last synced: about 1 month ago - Pushed: 2 months ago - Stars: 13 - Forks: 2

mpokojovy/HJM-Euro

Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model

Language: MATLAB - Size: 85 KB - Last synced: 6 months ago - Pushed: 6 months ago - Stars: 0 - Forks: 0

jonasknappitsch/us-treasury-yield-visualization

This python project makes use of matplotlib and numpy to visualize the spread between short and long term US treasury bond rates (yield rates). The resulting spread can indicate upcoming economical recessions. Predictions made based on that so called yield curve inversion has proven its accuracy for 6 out of 7 recessions in the past and is renowned as one of the most accurate recession indicators.

Language: Python - Size: 438 KB - Last synced: 6 months ago - Pushed: over 3 years ago - Stars: 2 - Forks: 1

belgrano9/IRM_Book

Quantitative finance models from Brigo & Mercurio, coded in Python.

Language: Jupyter Notebook - Size: 34.7 MB - Last synced: 6 months ago - Pushed: 6 months ago - Stars: 0 - Forks: 0

TommasoBelluzzo/StrataXL

An Excel integration of OpenGamma Strata.

Language: VBA - Size: 27.4 MB - Last synced: 7 months ago - Pushed: over 2 years ago - Stars: 11 - Forks: 4

asaficontact/FX_forecasting_model

Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"

Language: Python - Size: 667 KB - Last synced: 8 months ago - Pushed: over 1 year ago - Stars: 16 - Forks: 15

asaficontact/term_spread_combinations

In this project, I show how different combinations and components of term spread have varying shapes, which can be analyzed in order to understand movements in the economy. Calculating term spread dispersion can help us better price risk in the bond market. Term spread combinations have varying power in explaining future movements in macro variable. It shows that the spanning hypothesis of the term spread against a macro variable might hold true depending on the combination and component of term spread that we are taking into consideration. This project provides a mechanism through which we can identify the best combination of a term spread for creating an efficient􏰐 macro 􏰍finance model.

Language: R - Size: 56.7 MB - Last synced: 8 months ago - Pushed: over 1 year ago - Stars: 6 - Forks: 3

MarcoZazzini1989/Macroeconomics-and-etfs-returns

Using economic data from OECD and Fred in conjunction with etfs and sector indicies to explore how changing economic regime impacts monthly returns

Size: 539 KB - Last synced: 8 months ago - Pushed: 8 months ago - Stars: 0 - Forks: 0

AlexanderNadjalin/yield_curve_stripping

Yield curve stripping using Eikon Python API.

Language: Python - Size: 7.81 KB - Last synced: 10 months ago - Pushed: about 4 years ago - Stars: 0 - Forks: 0

werleycordeiro/Examples

Tutorial about Dynamic-Nelson-Siegel-Svensson-Kalman-Filter Package

Language: Jupyter Notebook - Size: 4.88 KB - Last synced: 10 months ago - Pushed: 11 months ago - Stars: 0 - Forks: 0

pavelsolis/FXpuzzle

Replication codes for the paper.

Language: Stata - Size: 7.18 MB - Last synced: 11 months ago - Pushed: about 1 year ago - Stars: 0 - Forks: 2

dbogatic/economic-indicators

Economic indicators using Python and APIs

Language: Jupyter Notebook - Size: 17.7 MB - Last synced: about 1 year ago - Pushed: about 1 year ago - Stars: 5 - Forks: 1

open-source-modelling/nelson_siegel_svansson_matlab

Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.

Language: MATLAB - Size: 31.3 KB - Last synced: about 1 month ago - Pushed: over 1 year ago - Stars: 2 - Forks: 1

luphord/yield_curve_dynamics

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

Language: Jupyter Notebook - Size: 11.2 MB - Last synced: 28 days ago - Pushed: over 1 year ago - Stars: 11 - Forks: 8

webn3ewbie/Economic-Data-Terminal

Language: Python - Size: 81.1 KB - Last synced: about 1 year ago - Pushed: over 1 year ago - Stars: 14 - Forks: 2

mcf-long-short/fixed-income-and-credit

Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.

Language: Jupyter Notebook - Size: 1.14 MB - Last synced: about 1 year ago - Pushed: almost 3 years ago - Stars: 9 - Forks: 4

CryptoDappRun/NFTBox-NFT-Staking-Market-Yield-Farming

NFTBox is a NFT staking project market app,NFT Yield Farming project,you can stake your NFT get reward tokens,or you can create your own NFT Staking Project on on Ethereum,Binance,Polygon,Cronos....DEFI Dapp platform.

Language: JavaScript - Size: 5.57 MB - Last synced: about 1 year ago - Pushed: over 1 year ago - Stars: 2 - Forks: 0

vinicioalmeida/yieldCurve

Yield curve calculation

Language: R - Size: 4.88 KB - Last synced: 12 months ago - Pushed: about 1 year ago - Stars: 0 - Forks: 0

cgowda337/Stock-Market-Data

Stock Market Data - Correlations/Visualizations/Calculations

Language: Jupyter Notebook - Size: 1.59 MB - Last synced: about 1 year ago - Pushed: over 1 year ago - Stars: 0 - Forks: 0

wrcarpenter/Yield-Curve-Models

Programs to generate a term structure of spot interest rates and also calculate historical yield volatilities.

Language: MATLAB - Size: 435 KB - Last synced: about 1 year ago - Pushed: over 2 years ago - Stars: 2 - Forks: 4

AlgoCryptoDapp/NFTBox-NFT-Staking-Market-Yield-Farming

NFTBox is a NFT staking project market app,NFT Yield Farming,you can stake your NFT get reward tokens,or you can create your own NFT Staking Project on on Ethereum,Binance,Polygon,Cronos....DEFI Dapp platform.

Language: JavaScript - Size: 5.46 MB - Last synced: about 1 year ago - Pushed: over 1 year ago - Stars: 1 - Forks: 5

shehio/Computational-Finance

Language: MATLAB - Size: 15.6 KB - Last synced: about 1 year ago - Pushed: over 4 years ago - Stars: 10 - Forks: 3

mauep2025/Forecasting-the-Yield-Curve

The aim of this code is to show the preliminary results of the forecast for the term structure (with different maturities) of the Mexican government bonds using different types of models.

Language: MATLAB - Size: 61.5 KB - Last synced: about 1 year ago - Pushed: about 4 years ago - Stars: 3 - Forks: 2

mtanaka25/BAFNS_MATLAB

This is my MATLAB package for Black-type arbitrage-free Nelson Siegel model

Language: MATLAB - Size: 34.2 KB - Last synced: over 1 year ago - Pushed: over 1 year ago - Stars: 4 - Forks: 1

omarja12/Nelson-Siegel-Svensson-parameters-estimations

Estimating the Nelson Siegel Svensson parameters

Language: Jupyter Notebook - Size: 344 KB - Last synced: about 1 year ago - Pushed: almost 2 years ago - Stars: 1 - Forks: 0

evdubs/ust-yield-curve

ETL for the US Treasury Yield Curve

Language: Racket - Size: 15.6 KB - Last synced: 17 days ago - Pushed: 6 months ago - Stars: 3 - Forks: 3

wegar-2/ustr.r.yield.curve

Fetch nominal interest rates from US Treasury's Interest Rate Statistics data center (https://home.treasury.gov/) into R.

Language: R - Size: 7.81 KB - Last synced: about 1 year ago - Pushed: about 3 years ago - Stars: 0 - Forks: 0

lchipham/Tweets_Mining_US_Inflation_Recession_Risks

Insights on market sentiments during current high inflationary period gleaned from exploration of Tweets from the general public and prominent news articles (WSJ, Financial Times, NY Times. etc)

Language: R - Size: 127 MB - Last synced: about 1 year ago - Pushed: almost 2 years ago - Stars: 1 - Forks: 0

sdediego/quantitative-finance

Quantitative and computational finance library

Language: Matlab - Size: 51.8 KB - Last synced: about 1 year ago - Pushed: over 6 years ago - Stars: 1 - Forks: 4

SnowyThinker/tiger-quant

Language: Python - Size: 5.92 MB - Last synced: about 1 year ago - Pushed: almost 2 years ago - Stars: 5 - Forks: 4

kylebinder-public/daily_rates_update

Similar to https://github.com/kylebinder-public/daily_market_update: here are scripts (.py, .bat) for automated sending of daily emails of the US treasury yield curve, spliced in ways that interest me. ETL from https://m.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield (and similar URLs).

Language: Python - Size: 709 KB - Last synced: over 1 year ago - Pushed: about 2 years ago - Stars: 1 - Forks: 0

MarcellGranat/yieldcurve

Language: R - Size: 14.7 MB - Last synced: about 1 year ago - Pushed: about 3 years ago - Stars: 1 - Forks: 0

AJLeonardi/yield_curve_repo

An application which provides a simple visual representation of the daily yield curves with the ability to also drill down into historical trends.

Language: JavaScript - Size: 527 KB - Last synced: about 1 year ago - Pushed: about 2 years ago - Stars: 0 - Forks: 0

Ordarb/pycurve

Language: Python - Size: 43 KB - Last synced: about 1 year ago - Pushed: over 5 years ago - Stars: 0 - Forks: 0

simicd/yield-curves

Yield curves are required to price insurance contracts. This repo contains the Python back end (Azure Functions) and React front end (single-page app).

Language: TypeScript - Size: 1.36 MB - Last synced: about 1 year ago - Pushed: almost 2 years ago - Stars: 3 - Forks: 3