Note
There are five Python code files. You can find instructions on how to use them in the sections below.
- Calculating interest rates
- Calculating bond prices
- Visualizing the time series of interest rates for German government bonds, covered bonds, and their respective yield spread for any maturity (With the possibility to compare data with any other time series on the second y-axis).
- Visualizing the term structure of interest rates for German government bonds, covered bonds, and their respective yield spread for any maturity.
- Visualizing time series of bond prices for German government bonds and covered bonds.
- Imports Svensson Parameters published by the German Federal Bank (GFB) using the GFB API.
- Calculates interest rates for any desired maturity for German government bonds and covered bonds in basis points.
- Calculates the yield spread for any desired maturity between German government bonds and covered bonds in basis points.
Determine how many years of maturity you would like to calculate. If you set T = 50, it will generate a CSV file that includes interest rates for 50 years. The output file will have columns that indicate what maturity the interest rates refer to.
T = 50
Set your file path. This is where your output will be exported to. You don't need to create any output folders as this is done automatically.
file_path = "C:/Users/..."
This code generates five output files:
- ts_federal_bonds_svensson_parameters_yyyy_mm_dd.csv = German Government Bond Svensson Parameters for each day
- ts_covered_bonds_svensson_parameters_yyyy_mm_dd.csv = Covered Bond Svensson Parameters for each day
The first column of the following files is the date. All other columns are the interest rates in basis points for different maturities. The column structure is always the same. 0_Y_1 refers to 1-year maturity, 0_Y_2 refers to 2-year maturity, etc.
- ts_federal_bonds_yyyy_mm_dd.csv = German Government Bond interest rates for all maturities for each day in basis points.
- ts_covered_bonds_yyyy_mm_dd.csv = Covered Bond interest rates for all maturities for each day in basis points
- ts_yield_spread_yyyy_mm_dd.csv = Yield Spread for all maturities for each day in basis points.
The files will be saved in the folder /Clean_Data. This folder is automatically generated if it doesn't exist.
- Imports Svensson Parameters as calculated by the Python code "Calculating Interest Rates"
- Calculates yield to maturity for each day during a set period based on shrinking time to maturity.
- Calculates bond price based on previously calculated yield to maturity and time to maturity
Determine what date the bond was listed & on what date the bond matures. Format YYYY-MM-DD
Start_Date = "2022-01-01"
End_Date = "2024-03-28"
Set your file path. This is where your output will be exported to. You don't need to create any output folders as this is done automatically.
file_path = "C:/Users/..."
This is a path starting from the location of "file_path".
folder_path = "Clean_Data/"
CSV File name for the Svensson parameters
svensson_parameter_file_name = "ts_federal_bonds_svensson_parameters_2024_04_26.csv"
Set the prefix value of the file that is exported.
export_file_name_prefix = "ts_federal_bond_price_"
This code generates one output file:
- ts_bond_price_yyyy_mm_dd.csv = Time Series of specific German Government Bond Price
The file will be saved in the folder /Clean_Data. This folder is automatically generated if it doesn't exist.
- Visualizes the time series of interest rates for any desired maturity
- Optional: Compare the time series of interest rates to any other time series of data that is visualized on the second y-axis.
The settings always follow the same structure! The first two letters of a setting are capitalized and indicate what visualization is affected by it. The following abbreviations are used:
- YS = Yield Spread
- FB = German Federal Government Bonds
- CB = Covered Bonds
- SY = Second Y-Axis Data (Here as an Example: VDAX)
There are two subsections of settings.
- The first subsection lists all settings for the data shown on the first y-axis (left) and general settings.
- The second subsection lists all settings for the data shown on the second y-axis (right).
I. First Subsection (First Y-Axis & General Settings)
Use this setting to define the filenames.
YS_file_name = "ts_yield_spread_2024_04_20.csv"
FB_file_name = "ts_federal_bonds_2024_04_20.csv"
CB_file_name = "ts_covered_bonds_2024_04_20.csv"
Decide if you want to show the graphs. For example, YS_show_graph = False will prevent the code from attempting to generate a time series graph of the yield spread.
YS_show_graph = True
FB_show_graph = True
CB_show_graph = True
Decide if you want to export graphs as PNG to the figures folder. The code will automatically generate a figures folder if there is none.
YS_export_png = True
FB_export_png = True
CB_export_png = True
Set the graph resolution in DPI
YS_graph_resolution = 1000
FB_graph_resolution = 1000
CB_graph_resolution = 1000
Set an export name for the graph
YS_export_name = "YS_Time_Series" + datetime.today().strftime('%Y_%m_%d') + ".png"
FB_export_name = "FB_Time_Series" + datetime.today().strftime('%Y_%m_%d') + ".png"
CB_export_name = "CB_Time_Series" + datetime.today().strftime('%Y_%m_%d') + ".png"
This will set the first date that is shown on the graph. It indicates on what day you would like to start your time series.
YS_start_date = "2009-01-01"
FB_start_date = "2009-01-01"
CB_start_date = "2009-01-01"
This will set the last date that is shown on the graph.
YS_end_date = "2022-01-30"
FB_end_date = "2022-01-30"
CB_end_date = "2022-01-30"
This list should include all maturities that you would like to show on the graph (First y-axis). You can only visualize the maturities that the Tidying code has generated. A list of [1, 5, 10] will generate three lines with 1, 5, and 10-year maturity.
YS_maturity_list = [5]
FB_maturity_list = [1, 5]
CB_maturity_list = [1, 5]
Set the column names for the x-axis data.
YS_x = "Date"
FB_x = "Date"
CB_x = "Date"
Depending on your preferences and the period considered in your graphs you can determine how many dates you want to show on the x-axis.
YS_amount_x_ticks = 20
FB_amount_x_ticks = 20
CB_amount_x_ticks = 20
Set x-axis label
YS_x_label = ""
FB_x_label = ""
CB_x_label = ""
Set y-axis label
YS_y_label = "Yield Spread [in bp]"
FB_y_label = "Interest Rate [in bp]"
CB_y_label = "Interest Rate [in bp]"
Set graph title
YS_graph_title = "Yield Spread between Covered Bonds & Gov. Bonds compared to VDAX"
FB_graph_title = "German Government Bonds Interest Rates"
CB_graph_title = "Covered Bonds Interest Rates"
Set legend title
YS_legend_title = "Maturity"
FB_legend_title = "Maturity"
CB_legend_title = "Maturity"
Decide if you want to show a zero line on the graph. If you set this to true, it will generate a dashed straight line for y = 0.
YS_show_zero_line = False
FB_show_zero_line = True
CB_show_zero_line = True
Set source text of data. This will be printed in the bottom left part of the graph.
YS_source_text = "Source: Svensson Parameter Bundesbank"
FB_source_text = "Source: Svensson Parameter Bundesbank"
CB_source_text = "Source: Svensson Parameter Bundesbank"
Set file path to the directory that includes the figures and data input folders /Figures and /Clean_Data.
file_path = "C:/Users/..."
Set the folder path for the data that is imported for the first y-axis (left)
FY_folder_path = "Clean_Data/"
II. Second Subsection (Second Y-Axis)
Decide if you want to add a second y-axis (right)
SY_show_on_graph = True
Set the folder path for the data that is imported for the second y-axis (right)
SY_folder_path = "Clean_data/"
Set file name for values on the second y-axis
SY_file_name = "VDAX.csv"
Set column name for data for the second y-axis
SY_y = "Price"
Set column name for data for the x-axis (Needs to be in the same format as the x-axis data for the first y-axis above)
SY_x = "Date"
Set the second y-axis label
SY_y_label = "VDAX"
Set the label that is shown in the legend on the right
SY_legend_label = "VDAX"
This code can generate three PNG files. These are visualizations of the time series of interest rates for German government bonds, covered bonds, and the respective yield spread between the two types of bonds.
Here is an example of a graph that was generated with this code. It shows the time series of interest rates for German government bonds with maturities of 1 year, 5 years, and 10 years in basis points.
Here is an example of another graph that was generated with this code. It shows the yield spread between covered bonds & German government bonds compared to the VDAX.
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- Calculate interest rates for German government bonds and covered bonds using Svensson Parameters published by the German Federal Bank.
- Calculate the yield spread between interest rates of German government bonds and covered bonds.
- Visualize the time series of interest rates for German government bonds and covered bonds.
- Visualize the term structure of interest rates.
The settings always follow the same structure! The first two letters of a setting are capitalized and indicate what visualization is affected by it. The following abbreviations are used:
- YS = Yield Spread
- FB = German Federal Government Bonds
- CB = Covered Bonds
Use this setting to indicate what date ending your CSV input files have (Ref. Output of Tidying Data Code) For example YS_csv_suffix = "2023_12_25" will read the file ts_federal_bonds_2023_12_25.csv as input file.
YS_csv_suffix = "2023_12_25"
FB_csv_suffix = "2023_12_25"
CB_csv_suffix = "2023_12_25"
Decide if you want to show the graphs. For example, YS_show_graph = False will prevent the code from attempting to generate a time series graph of the yield spread.
YS_show_graph = False
FB_show_graph = True
CB_show_graph = True
Decide if you want to export graphs as PNG to the figures folder. If the folder doesn't exist, it will be generated automatically.
YS_export_png = True
FB_export_png = True
CB_export_png = True
Set an export name for the graph
YS_export_name = "YS_Term_Structure_" + datetime.today().strftime('%Y_%m_%d') + ".png"
FB_export_name = "FB_Term_Structure_" + datetime.today().strftime('%Y_%m_%d') + ".png"
CB_export_name = "CB_Term_Structure_" + datetime.today().strftime('%Y_%m_%d') + ".png"
Set the dates for which you would like to show the term structure. For example, a list of ["2009-12-01", "2022-12-01", "2023-12-01"] will generate three lines showing the term structures for the respective dates in the list.
YS_date = ["2009-12-01", "2022-12-01", "2023-12-01"]
FB_date = ["2009-12-01", "2022-12-01", "2023-12-01"]
CB_date = ["2009-12-01", "2022-12-01", "2023-12-01"]
Set a list of maturities that you would like to show on the graph for each term structure. For example, YS_maturity_list = list(range(1, 31)) will generate a list of numbers from 1 to 30. This will generate a graph that shows 30 interest rates in basis points.
# YS_maturity_list = [1, 2, 3, 4, 5, 6, 7]
YS_maturity_list = list(range(1, 31))
# FB_maturity_list = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10]
FB_maturity_list = list(range(1, 31))
# CB_maturity_list = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10]
CB_maturity_list = list(range(1, 31))
Set how many years you would like to see between two ticks on the x-axis. This allows you to modify the amount of dates shown on the x-axis. Here you don't set the amount of ticks but rather the distance between the ticks.
YS_show_every_nth_x_tick = 5
FB_show_every_nth_x_tick = 5
CB_show_every_nth_x_tick = 5
Set x-axis label
YS_x_label = "Number of Years"
FB_x_label = "Number of Years"
CB_x_label = "Number of Years"
Set y-axis label
YS_y_label = "Yield Spread [in bp]"
FB_y_label = "Interest Rate [in bp]"
CB_y_label = "Interest Rate [in bp]"
Set graph title
YS_graph_title = "Yield Spread Term Structure"
FB_graph_title = "Government Bonds Term Structure"
CB_graph_title = "Covered Bonds Term Structure"
Set legend title
YS_legend_title = "Date"
FB_legend_title = "Date"
CB_legend_title = "Date"
Decide if you want to show a zero line on the graph. If you set this to true, it will generate a dashed straight line for y = 0.
YS_show_zero_line = False
FB_show_zero_line = True
CB_show_zero_line = True
Set source text of data. This will be printed in the bottom left part of the graph.
YS_source_text = "Source: Svensson Parameter Bundesbank"
FB_source_text = "Source: Svensson Parameter Bundesbank"
CB_source_text = "Source: Svensson Parameter Bundesbank"
Set file path to the directory that includes the figures and data input folders /Figures and /Clean_Data.
file_path = "C:/Users/..."
This code can generate three PNG files. These are visualizations of the term structure of interest rates for German Government Bonds, Covered Bonds, and the respective yield spread between the two types of bonds.
Here is an example of a graph that was generated with this code. It shows the term structure of interest rates for maturities of 1 to 30 years on three different dates.
- Visualizes the time series of bond prices
Use this setting to define the filenames.
file_name = "ts_federal_bond_price_2024_04_27.csv"
Decide if you want to show the graph.
show_graph = True
Decide if you want to export graphs as PNG to the figures folder. The code will automatically generate a figures folder if there is none.
export_png = True
Set the graph resolution in DPI
graph_resolution = 1000
Set an export name for the graph
export_name = "Bond_Price_Time_Series_" + datetime.today().strftime('%Y_%m_%d') + ".png"
This will set the first date that is shown on the graph. It indicates on what day you would like to start your time series.
start_date = "2009-01-01"
This will set the last date that is shown on the graph.
end_date = "2024-04-19"
Set the column name for the x-axis data.
x = "Date"
Set the column names for the y-axis data.
y = "Bond_Price"
Set x-axis label
x_label = ""
Set y-axis label
y_label = "Federal Bond Price"
Depending on your preferences and the period considered in your graphs you can determine how many dates you want to show on the x-axis.
amount_x_ticks = 20
Decide if you want to show a zero line on the graph. If you set this to true, it will generate a dashed straight line for y = 0.
show_zero_line = False
Set graph title
graph_title = "Bond Price over Time"
Decide if you want to show a legend
show_legend = False
Set legend title
legend_title = "Legend"
Set legend value (i.e. the string that is attributed to the line)
legend_value = "Federal Bond Price"
Set source text of data. This will be printed in the bottom left part of the graph.
source_text = "Source: Svensson Parameter Bundesbank"
Set file path to the directory that includes the figures and data input folders /Figures and /Clean_Data.
file_path = "C:/Users/..."
Set folder path for data to be imported. This is a path starting from the location of "file_path".
folder_path = "Clean_Data/"
Here is an example of a graph that was generated with this code. It shows the time series of a german government bond price.
