Term Structure Analysis

This project implements term structure models for analyzing yield curves and macroeconomic factors, focusing on the comparison between ACM (Adrian, Crump, Moench, 2013) and FF (Favero & Fernández-Fuertes, 2025) models.

Project Structure

term_structure/
├── data/                    # Data directory
│   ├── raw/                # Raw data files
│   │   └── Q/             # Quarterly data
│   │       ├── yield_curve.csv
│   │       └── macro_data.csv
│   ├── processed/         # Processed data files
│   │   ├── term_premia.csv
│   │   ├── term_premia_acm.csv
│   │   └── term_premia_ff.csv
│   └── figures/           # Generated figures
│       ├── acm/          # ACM model figures
│       │   ├── model_parameters/
│       │   ├── returns/
│       │   └── yield_curves/
│       ├── ff/           # FF model figures
│       │   ├── model_parameters/
│       │   ├── returns/
│       │   └── yield_curves/
│       └── model_results_{model}.{png,svg}
├── src/                   # Source code
│   └── model/            # Model implementations
│       ├── data/         # Data handling
│       ├── figures/      # Visualization components
│       │   ├── base.py
│       │   ├── model_parameters.py
│       │   ├── returns.py
│       │   └── yield_curves.py
│       ├── time/         # Time-related utilities
│       ├── common_trend.py
│       ├── estimation.py
│       ├── forecast.py
│       ├── params.py
│       ├── pricing_factors.py
│       └── trend.py
└── mains/                # Main execution scripts
    ├── create_figures.py
    ├── get_term_premia.py
    ├── main.py
    └── out_of_sample_comparisons.py

Setup

1. Install Poetry (if not already installed):

curl -sSL https://install.python-poetry.org | python3 -

2. Install dependencies:

poetry install

3. Activate the virtual environment:

poetry shell

4. Prepare data:

• Place yield curve data in data/raw/Q/yield_curve.csv
• Place macro data in data/raw/Q/macro_data.csv

Usage

The project includes several main scripts that can be run using Poetry. For example, to create model figures:

poetry run create_figures

This generates both individual and combined plots for ACM and FF models in the data/figures directory.

Models

The project implements and compares two term structure models:

1. ACM Model (Adrian, Crump & Moench, 2013):

   • Standard affine term structure model
   • Uses principal components as pricing factors

2. FF Model (Favero & Fernández-Fuertes, 2025):

   • Data-congruent term structure model
   • Incorporates macroeconomic factors
   • Features a common trend component

License

PRIVATE SOFTWARE

This is private software. All rights reserved. No part of this software may be reproduced, distributed, or modified without explicit permission from the authors:

• Carlo A. Favero (carlo.favero@unibocconi.it)
• Rubén Fernández-Fuertes (ruben.fernandez@phd.unibocconi.it)

Any modifications, distributions, or use of this software require prior written consent from the authors.