Merge pull request #5 from gusamarante/feature/match-original

Matching results of the original paper

Author: gusamarante

example_br.ipynb

@@ -0,0 +1,56 @@
+"""
+This file replicates the term premium estimates from the original paper. The
+file `us_data.xlsx` contains data from the authors' original matlab replication
+files. The output of this script matches the one from the original.
+
+For the updated US term premium estimates, visit the NY FED website.
+"""
+from pyacm import NominalACM
+import pandas as pd
+import matplotlib.pyplot as plt
+
+
+ylds_d = pd.read_excel("sample_data/us_data.xlsx", index_col=0, sheet_name="daily")
+ylds_d.index = pd.to_datetime(ylds_d.index)
+ylds_d = ylds_d / 100
+
+ylds_m = pd.read_excel("sample_data/us_data.xlsx", index_col=0, sheet_name="monthly")
+ylds_m.index = pd.to_datetime(ylds_m.index)
+ylds_m = ylds_m.resample("M").last()
+ylds_m = ylds_m / 100
+
+acm = NominalACM(
+    curve=ylds_d,
+    curve_m=ylds_m,
+    n_factors=5,
+    selected_maturities=[6, 12, 24, 36, 48, 60, 72, 84, 96, 108, 120],
+)
+
+
+# =================
+# ===== Chart =====
+# =================
+size = 7
+fig = plt.figure(figsize=(size * (16 / 7.3), size))
+
+ax = plt.subplot2grid((1, 2), (0, 0))
+ax.plot(ylds_d[120], label="Actual Yield", lw=1)
+ax.plot(acm.miy[120], label="Fitted Yield", lw=1, ls='--')
+ax.set_title("10-Year Model Fit")
+ax.xaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.yaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.tick_params(rotation=90, axis="x")
+ax.legend(loc="upper right")
+
+ax = plt.subplot2grid((1, 2), (0, 1))
+ax.plot(ylds_d[120], label="Yield", lw=1)
+ax.plot(acm.rny[120], label="Risk Neutral Yield", lw=1)
+ax.plot(acm.tp[120], label="Term Premium", lw=1)
+ax.set_title("10-Year Yield Decomposition")
+ax.xaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.yaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.tick_params(rotation=90, axis="x")
+ax.legend(loc="upper right")
+
+plt.tight_layout()
+plt.show()