Shadow Short Rate

Originally by Leo Krippner in MATLAB. Translated into Python 2 by Amandeep Singh and translated here into Python 3.

Instructions for generating the results

Run "python data_read.py" This generates yield curve data. The script generates the spliced yield curve dataset (Govt. data spliced with the OIS data after a specific date) for a respective country (Line 61 in the code) in monthly, weekly and daily csv formats.
Run "python AAA_RUN_KANSM2_Est_LB.py" This generates the shadow rate and other results. The script generates the results in a csv format as in the “Comparison of international monetary policy measures” for a respective country (Line 27) in the desired frequency (Line 28).

Name		Name	Last commit message	Last commit date
Latest commit History 11 Commits
Data_Files		Data_Files
AAA_RUN_KANSM2_Est_LB.py		AAA_RUN_KANSM2_Est_LB.py
AAB_KAGM_Estimation_NelderMead_file.py		AAB_KAGM_Estimation_NelderMead_file.py
AAC_KAGM_SingleLoop_file.py		AAC_KAGM_SingleLoop_file.py
AAD_KAGM_R_and_dR_dx_file.py		AAD_KAGM_R_and_dR_dx_file.py
AAE_KAGM_f_and_df_dx_file.py		AAE_KAGM_f_and_df_dx_file.py
AAF_FiniteDifferenceHessian_file.py		AAF_FiniteDifferenceHessian_file.py
AAH_EMS_N23_function_file.py		AAH_EMS_N23_function_file.py
AAL_CommonSaveName_file.py		AAL_CommonSaveName_file.py
Documentation for United States measures of monetary policy.pdf		Documentation for United States measures of monetary policy.pdf
FinalNaturalParameters_EA.dat		FinalNaturalParameters_EA.dat
FinalNaturalParameters_JP.dat		FinalNaturalParameters_JP.dat
FinalNaturalParameters_UK.dat		FinalNaturalParameters_UK.dat
FinalNaturalParameters_US.dat		FinalNaturalParameters_US.dat
G_file.py		G_file.py
README.md		README.md
data_read.py		data_read.py
functions.py		functions.py
globl.py		globl.py
globl.pyc		globl.pyc
normsdist_erf_file.py		normsdist_erf_file.py