An application which provides a simple visual representation of the daily yield curves with the ability to also drill down into historical trends.
-
Updated
Apr 21, 2023 - JavaScript
An application which provides a simple visual representation of the daily yield curves with the ability to also drill down into historical trends.
Open source
Examination of Dynamic Predictability of Excess Returns
Estimating the Nelson Siegel Svensson parameters
Replication codes for the paper.
Bootstrapping the Yield Curve using three different methods.
Yield curve stripping using Eikon Python API.
Stock Market Data - Correlations/Visualizations/Calculations
Quantitative and computational finance library
The project fits the Nelson-Siegel or Svensson curve to sovereign bond data (Real & Nominal) for various countries.
Fetch nominal interest rates from US Treasury's Interest Rate Statistics data center (https://home.treasury.gov/) into R.
Financial exercises
Quantitative finance models from Brigo & Mercurio, coded in Python.
Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model
Tutorial about Dynamic-Nelson-Siegel-Svensson-Kalman-Filter Package
Using economic data from OECD and Fred in conjunction with etfs and sector indicies to explore how changing economic regime impacts monthly returns
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.
Add a description, image, and links to the yield-curve topic page so that developers can more easily learn about it.
To associate your repository with the yield-curve topic, visit your repo's landing page and select "manage topics."