PricingTermStructure
Pricing the Term Structure with Linear Regressions
Install / Use
/learn @miabrahams/PricingTermStructureREADME
Pricing the Term Structure with Linear Regressions
This notebook demonstrates a simple and elegant three-step procedure for estimating affine term structure models described by Adrian, Crump and Moench (2013).
Estimation is contained in PricingTermStructure.ipynb. Code for loading Nelson-Svensson-Siegel fitted yield curves from the Federal Reserve Board is in load_gsw.py.
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