Examples

This gallery contains Jupyter notebook examples demonstrating the capabilities of the finm package.

• Replicating the Gurkaynak, Sack, and Wright (2006) Treasury Yield Curve
• Example - Analyzing Corporate Bond Data
• Cleaning Summary: Corporate Bond Returns
• Data Module Integration Tests
• Factor Regression Analysis with finm

Overview

Fixed Income

• Replicate GSW Yield Curve: Reproduce the Gurkaynak, Sack, and Wright (2006) Treasury yield curve methodology using the Nelson-Siegel-Svensson model.

Corporate Bonds

• Corporate Bond Returns: Introduction to pulling and analyzing corporate bond data from WRDS.

• Corporate Bond Returns - HKM Methodology: Data cleaning procedures based on He, Kelly, and Manela methodology following Nozawa (2017).

Factor Models

• Factor Regression Example: Demonstrates CAPM and Fama-French 3-factor model regressions, including Jensen’s alpha and factor beta interpretation.

Data Integration

• Data Integration Tests: Tests and demonstrates integration of multiple data sources including Fama-French factors, Federal Reserve data, HKM data, and Open Source Bond data.