Treasury yield curve prediction using a Multivariate LSTM sequential model with visualization. The solution primarily utilizes Keras and TensorFlow libraries to model US Treasury Yield Curves.
The model uses quarterly Real GDP, Real Disposable Income, US Unemployment, CPI Inflation, Fed Discount Rates and Chinese Discount Rates. The 3 month, 6 month, 1 year, 2 year, 3 year and 10 year US Treasury Yields are generated.
The data sources are described in the Data Sources word document.
This solution is an incremental improvement over the multivariant sequential regression solution that is also described in the FITSolutionsusa.com blog (https://www.fitsolutionsusa.com/blog/treasury-yield-predictions)
The solution leverages the following libraries -
Package Version
absl-py 0.12.0 argon2-cffi 20.1.0 astunparse 1.6.3 async-generator 1.10 attrs 20.3.0 backcall 0.2.0 bleach 3.3.0 cachetools 4.2.1 certifi 2020.12.5 cffi 1.14.5 chardet 4.0.0 chart-studio 1.1.0 colorama 0.4.4 cycler 0.10.0 decorator 5.0.5 defusedxml 0.7.1 entrypoints 0.3 flatbuffers 1.12 gast 0.3.3 google-auth 1.28.0 google-auth-oauthlib 0.4.4 google-pasta 0.2.0 grpcio 1.32.0 h5py 2.10.0 idna 2.10 importlib-metadata 3.7.3 inflection 0.5.1 ipykernel 5.3.4 ipython 7.22.0 ipython-genutils 0.2.0 jedi 0.17.0 Jinja2 2.11.3 joblib 1.0.1 jsonschema 3.2.0 jupyter-client 6.1.12 jupyter-core 4.7.1 jupyterlab-pygments 0.1.2 Keras 2.4.3 Keras-Preprocessing 1.1.2 kiwisolver 1.3.1 Markdown 3.3.4 MarkupSafe 1.1.1 matplotlib 3.4.1 mistune 0.8.4 more-itertools 8.7.0 nbclient 0.5.3 nbconvert 6.0.7 nbformat 5.1.3 nest-asyncio 1.5.1 notebook 6.3.0 numpy 1.19.5 oauthlib 3.1.0 opt-einsum 3.3.0 packaging 20.9 pandas 1.2.4 pandocfilters 1.4.3 parso 0.8.2 pickleshare 0.7.5 Pillow 8.2.0 pip 21.0.1 plotly 4.14.3 prometheus-client 0.10.0 prompt-toolkit 3.0.17 protobuf 3.15.7 pyasn1 0.4.8 pyasn1-modules 0.2.8 pycparser 2.20 Pygments 2.8.1 pyparsing 2.4.7 pyrsistent 0.17.3 python-dateutil 2.8.1 pytz 2021.1 pywin32 227 pywinpty 0.5.7 PyYAML 5.4.1 pyzmq 20.0.0 Quandl 3.6.1 requests 2.25.1 requests-oauthlib 1.3.0 retrying 1.3.3 rsa 4.7.2 scikit-learn 0.24.1 scipy 1.6.2 Send2Trash 1.5.0 setuptools 52.0.0.post20210125 six 1.15.0 sklearn 0.0 tensorboard 2.4.1 tensorboard-plugin-wit 1.8.0 tensorflow-estimator 2.4.0 tensorflow-gpu 2.4.0 termcolor 1.1.0 terminado 0.9.4 testpath 0.4.4 threadpoolctl 2.1.0 tornado 6.1 traitlets 5.0.5 typing-extensions 3.7.4.3 urllib3 1.26.4 wcwidth 0.2.5 webencodings 0.5.1 Werkzeug 1.0.1 wheel 0.36.2 wincertstore 0.2 wrapt 1.12.1 zipp 3.4.1