Capturar e modelar curvas de juros (ettj) usadas no Brasil.
The project fits the Nelson-Siegel or Svensson curve to sovereign bond data (Real & Nominal) for various countries.
Yield curve interpolation, parametric fitting (Nelson-Siegel, Svensson, PCHIP), compounding, and bond pricing — zero-dependency Rust
[This project was completed in April 2017] "The effectiveness of unconventional monetary policy of the Federal Reserve during the economic crisis. Analysis for the period of 2008-2016" - master thesis on Computer Science and Econometrics at the Warsaw University.
Interactive computational-finance study of Nelson-Siegel-Svensson yield curves, calibration, interpolation, day-count conventions, and present value in Python.
Daily-refreshed EUR yield-curve lab: rebuilds the ECB euro-area AAA Svensson curve and validates it against ECB published rates
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