Curvy-CUSIPs

Using Open Sourced Data for Rates Trading examples in Python:

• Cash Treasuries: FedInvest EOD Markings
• Swaps/Swaptions: DTCC SDR, BBG SEF
• SOFR OIS Curve: Eris SOFR Swap Futures FTP
• Economics/Misc: FRED, NYFRB

To get started

Clone repo:

git clone https://github.com/yieldcurvemonkey/Curvy-CUSIPs.git

pip install dependencies:

pip install -r requirements.txt

cd into scripts dir:

cd .\Curvy-CUSIPs\scripts

Init Cash Treasuries DBs:

python update_ust_cusips_db.py init

• This will take 30-60 minutes

• This will create 6 databases

  • ust_cusip_set
  • ust_cusip_timeseries
  • ust_eod_ct_yields
  • ust_bid_ct_yields
  • ust_mid_ct_yields
  • ust_offer_ct_yields

• Data is source from FedInvest

• Data availability: daily bid, offer, mid prices and ytms at cusip level (and cusip characteristics) starting from late 2008

• Script, by default, fetches data starting from 2018

• See below for examples

Update Cash Treasuries DBs:

python update_ust_cusips_db.py

Init SOFR OIS Curve DB:

python update_sofr_ois_db.py init

• This will take 30-60 minutes
• This will create one database: nyclose_sofr_ois
• Curve marking from < 2024-01-12 is from the BBG 490 Curve, newer EOD markings are sourced from the Eris FTP
• See below for examples

Update SOFR OIS Curve DB:

python update_sofr_ois_db.py

Init and update ATM Swaption Vol DB:

python update_atm_swaption_vol.py

Init Swaption Vol Cube DB

python update_swaption_vol_cube.py init

Update Swaption Vol Cube DB

python update_swaption_vol_cube.py

Checkout examples in \notebooks

usts_basics.ipynb

• Yield Curve Plotting
• CT Yields Dataframe
• CUSIP look up
• CUSIP plotting
• Spread, Flies plotting

swaps_basics.ipynb

• SOFR OIS Curve Ploting
• SOFR OIS Swap Spreads
• Spread, Flies plotting
• Swap Fwds

swaption_basics.ipynb

• similar to NSV and VCUB screens
• Historical ATM Grids
• Historical Vol Cubes
• Plotting 3 surfaces
  • expiry-tail
  • expiry-strike
  • tail-strike
• Vol Timeseries

swap_pricer.ipynb

• Recreating the SWPM screen

swaption_pricer.ipynb

• Recreating the SWPM screen

par_curves.ipynb

• Plot your splines/par curve model against all active CUSIPs on a historical date
• Example shown is a textbook par model: filter based on some liquidity premium then fit a cubic spline

jpm_rv_example.ipynb

• Thats a pretty good fit given that we are using publicly sourced data!
• The par model in the example is loosely based (same knot points) on JPM's par curve model, so we should expect that our residuals are similar

calculating_cash_hedge_ratios.ipynb

• DV01 Neutrality, Beta and PCA risk weightings

calculating_swap_hedge_ratios.ipynb

• Comparing with JPM's Rates Stratgey 10s/30s swap curve steepeners paired with a 16% weighted shorts in 2s and Buy the belly of a 6M forward 5s/10s/30s swap yield curve butterfly (-0.5:1.0:-0.5 weighted)
• PV01 Neutrality, Beta and PCA risk weightings

swaps_rv.ipynb

• Using PCA and different regressions to find RV in swap spaces

sabr_smile.ipynb

More examples/notebooks coming soon

Todos

• HedgeHog:

  • key-rate duration
  • partial pv01s
  • swaption hedger
    • vanillas
    • conditionals
  • beta_estimates:
    • robust-rolling pca implementation

• Spectral

  • init dir
  • PCA class enhancements

• Tempora

  • init dir