US Treasury Yield Curve Analyzer

A Python tool for analyzing, visualizing, and stress testing US Treasury yield curves using data from the Federal Reserve Economic Data (FRED).

Features

• Fetch historical Treasury yield data across multiple maturities (1M to 30Y)
• Calculate and visualize yield curves at specific dates
• Generate historical yield visualizations
• Calculate forward rates (1y1y, 2y1y, 5y5y)
• Perform spread analysis (2s10s, 3m10y, 5s30s)
• Conduct stress testing based on historical moves
• Generate interactive plots using Plotly

Installation

Prerequisites

• Python 3.7+
• pip package manager

Required Packages

pip install pandas pandas-datareader numpy plotly typing

Usage

Basic Usage

from datetime import datetime from us_yield_curve_analyzer import USYieldCurveAnalyzer

Initialize the analyzer

analyzer = USYieldCurveAnalyzer()

Fetch yield data starting from 2015

yields_data = analyzer.fetch_yields(start_date=datetime(2015, 1, 1))

Plot current yield curve

yield_curve = analyzer.plot_yield_curve() yield_curve.show()

Generate historical yield visualization

historical = analyzer.plot_historical_yields(start_year=2015) historical.show()

Advanced Features

Calculate Forward Rates

Get forward rates

forward_rates = analyzer.calculate_forward_rates() print(forward_rates.tail(1))

Plot forward rates

forward_plot = analyzer.plot_forward_rates() forward_plot.show()

Stress Testing

Perform stress testing

stress_results = analyzer.stress_test_yields() print(stress_results)

Visualize stress test results

stress_plot = analyzer.plot_stress_test_results(stress_results) stress_plot.show()

Class Methods

Core Methods

• fetch_yields(start_date): Fetches Treasury yield data from FRED
• plot_yield_curve(date): Plots the yield curve for a specific date
• plot_historical_yields(start_year): Visualizes historical yields across different maturities

Analysis Methods

• calculate_forward_rate(start_tenor, end_tenor): Calculates forward rates between two tenors
• calculate_forward_rates(): Calculates common forward rate combinations (1y1y, 2y1y, 5y5y)
• calculate_spreads(): Computes yield curve spreads (2s10s, 3m10y, 5s30s)

Stress Testing Methods

• calculate_historical_moves(lookback_days): Analyzes historical yield movements
• stress_test_yields(lookback_days): Performs stress testing based on historical scenarios
• plot_stress_test_results(stress_results): Visualizes stress test outcomes

Data Structure

The analyzer uses the following Treasury maturities:

• 1-month (1M)
• 3-month (3M)
• 6-month (6M)
• 1-year (1Y)
• 2-year (2Y)
• 3-year (3Y)
• 5-year (5Y)
• 7-year (7Y)
• 10-year (10Y)
• 20-year (20Y)
• 30-year (30Y)

Error Handling

The tool implements comprehensive error handling and logging:

• Failed data fetches are logged with detailed error messages
• Invalid tenor specifications raise ValueError
• Missing data scenarios are handled gracefully

Visualization

All visualizations are created using Plotly, providing:

• Interactive plots
• Hover information
• Customizable layouts
• Export capabilities

Logging

The tool uses Python's built-in logging module with:

• INFO level for successful operations
• ERROR level for failed operations
• Detailed error messages for debugging

Contributing

Feel free to submit issues and enhancement requests!