TermStructureModels.jl

TermStructureModels.jl has the below functions.

• Statistical Inference
  • Parameters
  • Yield Curve Interpolation
  • Term Premiums
• Forecasting
  • Conditional Forecasting without scenarios (Baseline Forecasts)
  • Scenario Analysis (Scenario Forecasts)

To use the above functions, an estimation of the model must first be conducted. That is, use posterior_sampler to obtain posterior samples of parameters. The posterior samples are used for the above functions (Statistical inference and Forecasting). For details, refer to the corresponding pages.

Some outputs of our package are not simple arrays. They are

• Vector{Parameter}: output of posterior_sampler
• Vector{ReducedForm}: output of reducedform
• Vector{LatentSpace}: output of latentspace
• Vector{YieldCurve}: output of fitted_YieldCurve
• Vector{TermPremium}: output of term_premium
• Vector{Forecast}: outputs of conditional_forecasts and scenario_analysis

The above outputs contain information about the posterior distributions of objects of interest. Users can use the outputs above to extract posterior samples or calculate descriptive statistics of the posterior distributions.

Our package is based on our paper. Descriptions of our model and the meanings of each variable can be found in the paper. The Notation section details how notations in the paper correspond to variables in our package. Additionally, the example file used in our paper is available in the repository.

Users are encouraged to read the two text boxes below.

`yields_in_data` = `data_scale`*`theoretical_yields_in_the_model`