Metadata-Version: 1.1
Name: yield-curve-dynamics
Version: 0.2.0
Summary: A cursory look at the dynamics of zero coupon bond yield curves.
Home-page: https://github.com/luphord/yield_curve_dynamics
Author: luphord
Author-email: luphord@protonmail.com
License: MIT license
Description: ====================
        Yield Curve Dynamics
        ====================
        
        
        .. image:: https://img.shields.io/pypi/v/yield_curve_dynamics.svg
                :target: https://pypi.python.org/pypi/yield_curve_dynamics
        
        .. image:: https://img.shields.io/travis/luphord/yield_curve_dynamics.svg
                :target: https://travis-ci.org/luphord/yield_curve_dynamics
        
        .. image:: https://readthedocs.org/projects/yield-curve-dynamics/badge/?version=latest
                :target: https://yield-curve-dynamics.readthedocs.io/en/latest/?badge=latest
                :alt: Documentation Status
        
        
        
        
        A cursory look at the dynamics of zero coupon bond yield curves.
        
        * Data source: Zero coupon bond yield curve data published by European Central Bank (ECB)
        * Visualization: Animated plot shows a video of historic yield curves
        * Analysis: Principal Component Analysis (PCA) is applied to (shifted) log diffs of keyrates in order to reduce the dimensionality of curve movements
        * Key insight: Three factors (parallel shift, steepening and hump) can capture the majority of curve movements
        * Structure: Functionality is contained in the `yield_curve_dynamics` Python package, presentation is performed using Jupyter notebooks in the `notebooks` directory
        * Free software: MIT license
        * Documentation: https://yield-curve-dynamics.readthedocs.io.
        * Slides_
        
        .. _Slides: https://rawcdn.githack.com/luphord/yield_curve_dynamics/5d435148137b815b2bcc9d48244a1356253defd1/lightning_talk_2019-04-04/Yield%20Curve%20Dynamics.slides.html
        
        
        Credits
        -------
        
        This package was created with Cookiecutter_ and the `audreyr/cookiecutter-pypackage`_ project template.
        
        .. _Cookiecutter: https://github.com/audreyr/cookiecutter
        .. _`audreyr/cookiecutter-pypackage`: https://github.com/audreyr/cookiecutter-pypackage
        
        
        =======
        History
        =======
        
        0.2.0 (2019-04-03)
        ------------------
        
        * Ready for lightning talk
        
        0.1.0 (2019-03-21)
        ------------------
        
        * First release on PyPI.
        
Keywords: yield_curve_dynamics
Platform: UNKNOWN
Classifier: Development Status :: 2 - Pre-Alpha
Classifier: Intended Audience :: Developers
Classifier: License :: OSI Approved :: MIT License
Classifier: Natural Language :: English
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.7
