pca for yield curve modelling
DESCRIPTION
PCA analysis for yield curve modelling.TRANSCRIPT
0 10 20 30 40 50-0.4
-0.2
0
0.2
0.4
Term (Y)
(1):0.91
(2):0.083(3):0.0031
0 10 20 30 40 50-8
-6
-4
-2
0
2x 10
-4
Term (Y)
(1):0.91
(2):0.083(3):0.0031
( )
( )
0 10 20 30 40 50-3
-2
-1
0
1
2
3
Term (Y)
0 10 20 30 40
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Term (Y)
(1):0.71
(2):0.29
(3):0.00017
-6
-4
-2
0
2
4
6
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
PC #
PC
ma
gn
itu
de
-6 -4 -2 0 2 40
100
200
300
400
500
600
700
PC magnitudeC
ou
nt
0 10 20 30 40 500
0.01
0.02
0.03
0.04
0.05
0.06
Term (Y)
(1): actual
(1): fit
(4): actual
(4): fit
0 10 20 30 40 500
0.02
0.04
0.06
0.08
Term (Y)
(685): actual
(685): fit
(988): actual
(988): fit
0 10 20 30 40 500
0.01
0.02
0.03
0.04
0.05
0.06
Term (Y)
(1): original
(1): actual
(1): fit
0 10 20 30 40 500
0.01
0.02
0.03
0.04
0.05
0.06
Term (Y)
(1): original
(1): actual
(1): fit
0 10 20 30 40 500
0.01
0.02
0.03
0.04
0.05
0.06
Term (Y)
(1): original
(1): actual
(1): fit
0 10 20 30 40 500
0.01
0.02
0.03
0.04
0.05
0.06
Term (Y)
(1): original
(1): actual
(1): fit
0 5 10 15
-0.5
0
0.5
1
1.5
PC #
PC
ma
gn
itu
de
-4
-2
0
2
4
6
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
PC #
PC
ma
gn
itu
de
0 10 20 30 40 50
-0.4
-0.2
0
0.2
0.4
0.6
Term (Y)
0 10 20 30 40-1.5
-1
-0.5
0
0.5
Term (Y)
(1):0.76
(2):0.19
(3):0.042
(4):0.00084
(5):0.00011
0 10 20 30 40 500
0.01
0.02
0.03
0.04
0.05
0.06
Term (Y)
(1): actual
(1): fit
(4): actual
(4): fit
0 10 20 30 40 500
0.01
0.02
0.03
0.04
0.05
0.06
Term (Y)
(1): actual
(1): fit
(4): actual
(4): fit
0 10 20 30 40 50
0
0.02
0.04
0.06
0.08
Term (Y)
(685): actual
(685): fit
(988): actual
(988): fit
0 10 20 30 40 50
0
0.02
0.04
0.06
0.08
Term (Y)
(685): actual
(685): fit
(988): actual
(988): fit
0 10 20 30 40 500
0.01
0.02
0.03
0.04
0.05
0.06
Term (Y)
(1): original
(1): stressed
(1): fit
0 10 20 30 40 500
0.01
0.02
0.03
0.04
0.05
0.06
Term (Y)
(1): original
(1): stressed
(1): fit
-5
0
5
1 2 3 4 5 6 7 8
PC #
PC
ma
gn
itu
de