├── .gitignore ├── README.md ├── code ├── bond-portfolio.R ├── bond_calculator.py ├── bond_input_data.py └── pca-bootstrap.R ├── data ├── USTREASURY.csv ├── bonds-data.csv └── svensson-pars.csv └── report └── report-thesis_files └── figure-gfm ├── bootstrap-loadings-1.png ├── cash-flows-figure-1.png ├── cover-seminal-paper.png ├── density-var-explained-first-three-evals-1.png ├── eigenvalues-boxplots-1.png ├── eigenvalues-densities-1.png ├── eigenvalues-histogram-1.png ├── eigenvectors-1.png ├── p&l-graph-1.png ├── representation-vs-actual-1.png ├── representation-vs-actual-2.png ├── svensson-term-structure-1.png ├── svensson-yield-curve-figure-1.png ├── termstructure-1.png ├── three-pcs-graph-1.png └── yieldcurve-1.png /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreranza/pca-yield-curve-modelling/HEAD/.gitignore -------------------------------------------------------------------------------- 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