Financial exercises

Quantitative and computational finance library

Yield Spread Curve as Recession Indicator in the framework of Machine Learning "On the trails of Dragon Kings"

Open source

Yield curve stripping using Eikon Python API.

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.

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 renow…

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

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

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

An Excel integration of OpenGamma Strata.

The project fits the Nelson-Siegel or Svensson curve to sovereign bond data (Real & Nominal) for various countries.

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

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).

Impact of Twitter inflation sentiments on financial indicators

Examination of Dynamic Predictability of Excess Returns

Bootstrapping the Yield Curve using three different methods.