Homework 4

Homework 4#

Learning Outcomes#

  • Estimate the U.S. Treasury yield curve using the Nelson-Siegel-Svensson model following Gurkaynak, Sack and Wright (2006)

  • Use the finm package to implement yield curve functions (spot rates, discount factors, cashflow construction, and model fitting)

  • Build and verify a data pipeline using doit

  • Learn to use GitHub to scan for secrets and revise Git commit history

Assignment#

Please refer to the HW repo README for full details. The assignment consists of the following tasks:

  • Task 1: GSW Yield Curve Module (2 pts) — Replace TODO placeholders in src/gsw2006_yield_curve.py with imports from the finm package.

  • Task 2: Data Pipeline (3 pts) — Ensure the full data pipeline runs successfully via doit.

  • Task 3: Federal Reserve Yield Curve Data (1 pt) — Implement task_pull_fed_yield_curve_data in dodo.py.

  • Task 4: Notebooks (1 pt) — Ensure the Jupyter notebooks execute successfully.

  • Task 5: GitHub Skills (2 pts) — Complete the Change Commit History and Introduction to Secret Scanning tutorials.

  • Task 6: Market Brief Self-Attestation (2 pts) — Affirm that you have compiled your market brief and added custom metrics.

Total: 11 points

Example Market Brief

Contents