Skip to content

Public practical case

ECB EUR curve → 5Y IRS → risk → validation → audit trail

This is the recommended public demonstration of ASRQuant 1.3.

The notebook uses one coherent rates case to show the package's main workflows rather than presenting isolated API examples.

What it covers

  1. ECB EUR yield-curve data;
  2. data validation and immutable snapshots;
  3. PCA of curve changes;
  4. explicit curve states and market conventions;
  5. a 5Y payer interest-rate swap;
  6. DV01 and key-rate DV01;
  7. quote-space PV01 through CurveBuilder;
  8. realized P&L explanation;
  9. parallel, steepener and flattener stresses;
  10. a simple curve research hypothesis;
  11. CPCV, PBO, Reality Check and SPA;
  12. Experiment, ExperimentRegistry and ResearchReport.

Run it

Open the notebook on GitHub

Run in Google Colab

Install the package first if running locally:

pip install --upgrade "asrquant[providers,visualization]"

Why this case

The workflow demonstrates the core ASRQuant idea:

A quantitative result should preserve the path from data and conventions to risk, validation and reproducibility.

Data note

The ECB euro-area AAA sovereign spot curve is used as a transparent public research proxy. It is not a substitute for a production EUR IRS multi-curve stack with OIS discounting, projection curves, collateral conventions and live market swap quotes.

Validation note

The curve-signal section is a research-method demonstration. CPCV, PBO, Reality Check and SPA are evidence filters, not trading guarantees or proof of persistent alpha.