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ECB publishes the bond yield curve in a parametric form, the so-called Svensson Model. $$y(t) = \beta_0 + \beta_1 \Bigg(\frac{1-e^{\frac{-t}{\tau_1}}}{t / \tau_1}\Bigg) + \beta_2 \Bigg(\frac{1-e^{\frac{-t}{\tau_1}}}{t / \tau_1} - e^{\frac{-t}{\tau_1}}\Bigg) + \beta_3 \Bigg(\frac{1-e^{\frac{-t}{\tau_2}}}{t / \tau_2} - e^{\frac{-t}{\tau_2}}\Bigg)$$
import pandas as pd
pd.read_csv('../data/euryieldcurve.csv', parse_dates=['date'], index_col=0).head()
beta0 | beta1 | beta2 | beta3 | tau1 | tau2 | |
---|---|---|---|---|---|---|
date | ||||||
2009-01-02 | 0.108792 | 1.611718 | 10.426767 | -0.958181 | 12.040810 | 0.750536 |
2009-01-05 | 0.169175 | 1.509803 | 10.714462 | -1.009914 | 11.895374 | 1.047267 |
2009-01-06 | 0.010000 | 1.598177 | 11.598626 | -0.739861 | 12.388537 | 1.047100 |
2009-01-07 | 0.352788 | 1.418221 | 11.118991 | -1.540248 | 13.456747 | 0.616249 |
2009-01-08 | 0.383307 | 1.493448 | 10.785753 | -2.052377 | 13.605817 | 0.617398 |
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