yield-curve

There are 2 repositories under yield-curve topic.

• luphord / nelson_siegel_svensson

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

  curve-fittingfinanceinterest-ratespython3yield-curve
  Language:Python 107

• 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.

  data-analysisfred-apipandasus-treasuryus-public-debtinflationinflation-expectationsjupyter-notebookcpim2pceunemployment-rateparticipation-ratem1breakeven-inflationfinanceinterest-ratesyield-curvemoney-supplygdp
  Language:Jupyter Notebook 33

• felipenoris / InterestRates.jl

  Interest Rates calculation, indexing and Term Structures.

  yield-curverate-calculator
  Language:Julia 27

• asaficontact / FX_forecasting_model

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

  exchange-ratesexchange-rates-forecastingfinancial-econometricsfinancial-economicsasset-pricingforexforex-predictionprincipal-component-analysispandasinterest-ratesyield-curve
  Language:Python 23

• webn3ewbie / Economic-Data-Terminal

  fred-apibondscommoditiescpigdpvolatilityyield-curvestreamlit
  Language:Python 23

• 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.

  quantitative-financequantitative-analysisbond-pricingyield-curveprincipal-component-analysispcabondsfixed-income
  Language:Jupyter Notebook 22

• simicd / smith-wilson-py

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

  pythonsmith-wilsonyield-curvespot-rate-curveeiopaextrapolationinterpolation
  Language:Python 18

• quantgirluk / Yield-Curves-Visual

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

  data-visualisationfinancesplotly-dashyield-curve
  Language:Python 14

• open-source-modelling / Nelson_Siegel_Svansson_python

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

  pythonalgorithmsinsurancerisk-analysisrisk-modellingactuarialfinanceinterpolationextrapolationyield-curve
  Language:Python 13

• rafa-rod / pyettj

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

  curvejurosfinancequantquantitative-financemercado-financeirofinancial-analysisfinancial-marketsyield-curveanbimasvenssonettj
  Language:Python 13

• dbogatic / economic-indicators

  Economic indicators using Python and APIs

  economic-indicatorsyield-curverecession-probability
  Language:Jupyter Notebook 12

• TommasoBelluzzo / StrataXL

  An Excel integration of OpenGamma Strata.

  derivativesderivatives-pricingmarket-riskfinancial-analysisfinancial-instrumentsfinancial-marketsquantitative-analysisquantitative-financequantitative-methodsrisk-analysisrisk-modelsrisk-managementpricing-derivativesyield-curveyield-curve-calibration
  Language:VBA 12

• luphord / yield_curve_dynamics

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

  jupyter-notebookpcapython3visualizationyield-curve
  Language:Jupyter Notebook 11

• shehio / Computational-Finance

  yield-curvebootstrapping-statisticsoptimal-executionoptimal-controlstochastic-optimaalmgren-chrissmarkowitz-portfoliomodern-portfolio-theoryfinancial-engineeringcomputational-financefinancial-economicsmonte-carlomonte-carlo-simulationmonte-carlo-samplingmonte-carlo-integration
  Language:MATLAB 10

• 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.

  binancecronosdappdefinft-collectionnft-gallerynft-marketplacenft-mintingnft-rewardnft-stakingnft-storepolygonrewards-platformstakestakingyield-curveyield-farmingyield-farms
  Language:JavaScript 8

• 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.

  rlatexyield-curveinterest-ratesunemploymentrecessionrecession-indicatorplotlymacroeconomicsfinanceeconometricseconomic-analysis
  Language:R 7

• 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.

  dappdappsdefinft-collectionnft-gallerynft-gamenft-marketplacenft-mintingnft-rewardnft-stakingnft-storepolygonrewards-platformstake-nftyield-curveyield-farmingyild-farms
  Language:JavaScript 5

• 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.

  us-treasuryyield-curve
  Language:Jupyter Notebook 5

• exzod / BSc-Thesis-

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

  machine-learningdragon-kingsrecession-indicatoryield-curveeuropesvminterpolationgdpaggregation19702017
  Language:Jupyter Notebook 4

• evdubs / ust-yield-curve

  ETL for the US Treasury Yield Curve

  us-treasuryyield-curveetlracket
  Language:Racket 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.

  mexicoyield-curveforecasting-modeltime-seriesvar-forecastingarima-forecastingsvarmacroeconomics
  Language:MATLAB 3

• 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).

  yield-curvefinanceapi
  Language:TypeScript 3

• belgrano9 / IRM_Book

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

  interest-ratesyield-curve
  Language:Jupyter Notebook 2

• 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.

  yield-curveus-treasuryrecessioneconomicspythonvisualization
  Language:Python 2

• 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).

  financeautomated-reportingyield-curvepandas-pythonsmtplib
  Language:Python 2

• lchipham / USInf_TW_Stm

  Impact of Twitter inflation sentiments on financial indicators

  data-visualizationinflationtext-miningtweetsyield-curverecession-risk
  Language:R 2

• MarcellGranat / yieldcurve

  yield-curveprobit
  Language:R 2

• open-source-modelling / nelson_siegel_svansson_matlab

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

  matlabalgorithminsurancerisk-analysisrisk-modellingactuarialactuarial-modelinginterpolationextrapolationfinanceyield-curve
  Language:MATLAB 2

• open-source-modelling / Nelson_Siegel_Svansson_python_ita

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

  actuarialalgorithmsextrapolationfinanceinterpolationpythonrisk-analysisrisk-modellingyield-curve
  Language:Python 2
• Yield-Curve-Models

  wrcarpenter / Yield-Curve-Models

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

  fixed-incomeoptions-pricingderivatives-pricinginterest-ratesyield-curvebootstrapinterpolation
  Language:MATLAB 2

• 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

  economic-dataeconomics-modelsetfsfinancefinancial-analysisfredgdpinflationmacroeconomicsoecdrrstudiostockstock-marketstock-returns-forecastingvixyield-curveyield-spread
  1

• mpokojovy / HJM-Euro

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

  bondsfinancial-analysisfinancial-data-analysisheath-jarrow-mortonterm-structure-modelstime-series-analysistime-series-forecastingyield-curve
  Language:MATLAB 1

• raj-rao-rr / International-Real-Yields

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

  nelson-siegelsvenssonyield-curve
  Language:MATLAB 1

• sdediego / quantitative-finance

  Quantitative and computational finance library

  financefinancial-modelsderivativesoptionsyield-curvepricingsimulationmonte-carloblack-scholesquantitative-finance
  Language:MATLAB 1

• 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.

  yield-curveustreasuryr
  Language:R 1

• werleycordeiro / Examples

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

  yield-curvedynamic-nelson-siegelkalman-filter
  Language:Jupyter Notebook 1