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Master the method to derive precise interest rates for different maturities by leveraging financial modelling techniques.
In this Finance Modeling Project, you'll step into the shoes of a Quantitative Analyst and construct a Treasury Yield Curve from scratch. Under the supervision of an experienced industry expert, you'll analyze market data and implement a mathematical model in Python to estimate term structures of interest rates. You'll become familiar with industry tools and methodologies for data manipulation and bootstrapping techniques for yield curve construction. All this will provide invaluable hands-on experience crucial for entry-level roles in finance, where proficiency in quantitative modeling and data analysis is highly valued.
Getting to know the Build Fellow and other students. Provide an overview of the project and expectations. Install Jupyter notebook and run a simple program.
Delve into the fundamental principles of fixed income securities, including interest rates, zero coupon bonds and yield curves.
Understanding the concept of Yield to Maturity and write a simple python program to estimate it.
Get to know sources of financial data, download CSV files and perform basic data manipulation and interpolation.
Delve into the motivation for bootstrapping and underlying assumptions.
Use the knowledge from previous workshop to write a python program to bootstrap a treasury yield curve. Plot the curve along with treasury yield curve.
Use our model to predict treasury bond prices and compare with real data.
Conclude the project and answer final questions as well as discuss potential topics to explore further.
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