Fixed-Income-Quant-Trading
Implementation of:
- PCA of Constant Maturity Treasury Data
- Chou-Ng and Box-Tiao canonical-correlation analysis (CCA) of CMT and Eurodollar (ED) Futures to find mean reverting portfolios
- Conversion of Continuos ED futures into Constant Maturity series
- Dynamic Nelson-Siegel model (DNS)
This work is part of home work assignments completed independely for course Fixed Income Qunat Trading at New York University.