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fyyying / calculate_discounted_cashflows.md
Last active June 17, 2020 06:25







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fyyying / calculate_discount_factors.md
Last active June 4, 2020 20:44



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fyyying / dynamic_maturity.md
Last active May 31, 2020 17:17








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fyyying / spot_rate_yield_curve_group.csv
Created May 24, 2020 10:09
Maturity Spot_Rate Currency
1 0.010 USD
2 0.012 USD
3 0.014 USD
4 0.016 USD
5 0.018 USD
6 0.020 USD
7 0.022 USD
8 0.024 USD
9 0.026 USD
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fyyying / calculate_forward_rate.md
Last active May 25, 2020 17:48



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fyyying / embed_gists_formula.md
Last active May 25, 2020 17:47

Calculate forward rate

Formula to calculate forward rate from spot rate

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fyyying / shifted_spot_rate.csv
Created May 23, 2020 16:47
Maturity Spot_Rate Spot_Rate_Shift
1 0.01 0.0
2 0.012 0.01
3 0.014 0.012
4 0.016 0.014
5 0.018 0.016
6 0.02 0.018
7 0.022 0.02
8 0.024 0.022
9 0.026 0.024
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fyyying / calculate_forward_rate_group.py
Last active May 23, 2020 14:27
# Implementation with PySpark
from pyspark.sql import SparkSession
from pyspark.sql import Window
from pyspark.sql import functions as f
# Define Spark settings
builder = SparkSession.builder.appName("Koalas")
spark = builder.getOrCreate()
# Read in the spot rate data
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fyyying / calculate_forward_rate_group.csv
Last active May 23, 2020 13:49
Maturity Spot_Rate Currency Spot_Rate_Shift Forward_Rate
1 0.01 USD 0.0 0.01
2 0.012 USD 0.01 0.014
3 0.014 USD 0.012 0.018
4 0.016 USD 0.014 0.022
5 0.018 USD 0.016 0.026
6 0.02 USD 0.018 0.03
7 0.022 USD 0.02 0.034
8 0.024 USD 0.022 0.038
9 0.026 USD 0.024 0.042
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fyyying / pyspark_forward_rate.py
Last active May 23, 2020 14:24
# Implementation with PySpark
from pyspark.sql import SparkSession
from pyspark.sql import Window
from pyspark.sql import functions as f
# Define Spark settings
builder = SparkSession.builder.appName("Forward_Rate_Calculation")
spark = builder.getOrCreate()
# Read in the spot rate data as csv