Adding contributing guidelines and update README

Author: gusamarante

example.py

@@ -1,11 +1,10 @@
 # TODO Turn this into a jupyter notebook
 
 from pyacm import NominalACM
-
 import matplotlib.pyplot as plt
 import matplotlib.dates as mdates
 import pandas as pd
-import numpy as np
+
 
 # Read and plot data
 yield_curve = pd.read_csv(

pit_estimates.py

@@ -0,0 +1,39 @@
+"""
+Generate point-in-time estimates
+"""
+from tqdm import tqdm
+import pandas as pd
+from pyacm import NominalACM
+
+
+min_obs = 252
+
+# Read the data
+yield_curve = pd.read_csv(
+    "sample_data/di monthly maturities.csv",
+    index_col=0,
+)
+yield_curve = yield_curve.iloc[:, :121]  # maturities up to 10y
+yield_curve = yield_curve.dropna()
+yield_curve.index = pd.to_datetime(yield_curve.index)
+yield_curve = yield_curve[yield_curve.index >= "2007-03-01"]  # TODO deal with this missing data
+
+tp = pd.DataFrame(columns=yield_curve.columns)
+er = pd.DataFrame(columns=yield_curve.columns)
+
+for d in tqdm(yield_curve.index):
+
+    aux_curve = yield_curve.loc[:d]
+    if aux_curve.shape[0] < min_obs:
+        continue
+
+    acm = NominalACM(
+        curve=aux_curve,
+        n_factors=5,
+    )
+
+    tp.loc[d] = acm.tp.loc[d]
+    er.loc[d] = acm.er_hist_d.loc[d]
+
+tp.to_csv("sample_data/pit_tp.csv")
+er.to_csv("sample_data/pit_er.csv")