From 88e12686601c88e61b59df4be52d5aa64aa87999 Mon Sep 17 00:00:00 2001
From: Shreyas Srinivasan <shreyass@mit.edu>
Date: Thu, 17 Feb 2022 13:52:30 -0500
Subject: [PATCH 1/6] Create fi.yield_curve module

---
 src/fixedincome/yield_curve.py | 21 +++++++++++++++++++++
 1 file changed, 21 insertions(+)
 create mode 100644 src/fixedincome/yield_curve.py

diff --git a/src/fixedincome/yield_curve.py b/src/fixedincome/yield_curve.py
new file mode 100644
index 0000000..772e199
--- /dev/null
+++ b/src/fixedincome/yield_curve.py
@@ -0,0 +1,21 @@
+"""
+Fixed income analytics for the yield curve
+
+Implements various functions useful for yield curve analytics.
+"""
+
+
+def bootstrap():
+	pass
+
+
+def regression():
+	pass
+
+
+def spline():
+	pass
+
+
+def nelson_siegel():
+	pass

From 03ca2c4094d70fa31c1aa11f22376d3c30f938b3 Mon Sep 17 00:00:00 2001
From: Shreyas Srinivasan <shreyass@mit.edu>
Date: Wed, 23 Feb 2022 14:12:25 -0500
Subject: [PATCH 2/6] Add yield_curve module

---
 src/fixedincome/__init__.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/src/fixedincome/__init__.py b/src/fixedincome/__init__.py
index c0ba094..1e88563 100644
--- a/src/fixedincome/__init__.py
+++ b/src/fixedincome/__init__.py
@@ -15,6 +15,6 @@
         Functions useful for analyzing fixed rate bonds.
 """
 
-__all__ = ['utils', 'bonds']
+__all__ = ['utils', 'bonds', 'yield_curve']
 
 from fixedincome import *

From c0acf670ec05cc7bc529cb5493869aa815c11804 Mon Sep 17 00:00:00 2001
From: Shreyas Srinivasan <shreyass@mit.edu>
Date: Tue, 22 Mar 2022 02:30:15 +0000
Subject: [PATCH 3/6] Implement fi.yield_curve.bootstrap()

---
 src/fixedincome/yield_curve.py | 27 +++++++++++++++++++++++++--
 1 file changed, 25 insertions(+), 2 deletions(-)

diff --git a/src/fixedincome/yield_curve.py b/src/fixedincome/yield_curve.py
index 772e199..f581486 100644
--- a/src/fixedincome/yield_curve.py
+++ b/src/fixedincome/yield_curve.py
@@ -5,8 +5,31 @@
 """
 
 
-def bootstrap():
-	pass
+import numpy as np
+
+
+def bootstrap(cash_flows : np.ndarray, prices : np.ndarray) -> np.ndarray:
+    """
+    Calculates the spot yield curve from a series of bonds. 
+    
+    Parameters
+    ----------
+    cash_flows : np.ndarray
+        Nonsingular payoff matrix of a series of bonds.
+    prices : np.ndarray
+        Corresponding price of each bond.
+    
+    Returns
+    -------
+    np.ndarray
+        The corresponding spot yield curve derived from no-arbitrage relationships.
+    """
+    
+    assert cash_flows.shape[1] == prices.shape[0], "Check shapes of input matrices."
+
+    discount_factors = np.linalg.inv(cash_flows) @ prices
+    yields = np.power(discount_factors, np.reshape(-1 / np.arange(start=1, stop=discount_factors.shape[0]+1), newshape=discount_factors.shape)) - 1 # Formula: d = 1/(1 + y)^i
+    return yields
 
 
 def regression():

From 98c90209b3d1e1e6946c69a3063f1b61be86ff3e Mon Sep 17 00:00:00 2001
From: Shreyas Srinivasan <shreyass@mit.edu>
Date: Tue, 22 Mar 2022 02:35:59 +0000
Subject: [PATCH 4/6] Temporarily implement yield_curve functions using
 NotImplementedError's

---
 src/fixedincome/yield_curve.py | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

diff --git a/src/fixedincome/yield_curve.py b/src/fixedincome/yield_curve.py
index f581486..5bf032a 100644
--- a/src/fixedincome/yield_curve.py
+++ b/src/fixedincome/yield_curve.py
@@ -33,12 +33,12 @@ def bootstrap(cash_flows : np.ndarray, prices : np.ndarray) -> np.ndarray:
 
 
 def regression():
-	pass
+    raise NotImplementedError("Regression not yet implemented.")
 
 
 def spline():
-	pass
+    raise NotImplementedError("Spline not yet implemented.")
 
 
 def nelson_siegel():
-	pass
+    raise NotImplementedError("Nelson-Siegel not yet implemented.")

From 76e68ab8915fb76654f22af329f6afc7ebe7ec53 Mon Sep 17 00:00:00 2001
From: Shreyas Srinivasan <shreyass@mit.edu>
Date: Tue, 22 Mar 2022 02:36:18 +0000
Subject: [PATCH 5/6] Update to v0.1.2 for fi.yield_curve

---
 VERSION.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/VERSION.txt b/VERSION.txt
index 6da28dd..8294c18 100644
--- a/VERSION.txt
+++ b/VERSION.txt
@@ -1 +1 @@
-0.1.1
\ No newline at end of file
+0.1.2
\ No newline at end of file

From 725d9ec6ed69f527db2088f3dd183215af81f072 Mon Sep 17 00:00:00 2001
From: Shreyas Srinivasan <shreyass@mit.edu>
Date: Tue, 22 Mar 2022 03:03:36 +0000
Subject: [PATCH 6/6] Flatten output of fi.yield_curve.bootstrap()

---
 src/fixedincome/yield_curve.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/src/fixedincome/yield_curve.py b/src/fixedincome/yield_curve.py
index 5bf032a..6b8a894 100644
--- a/src/fixedincome/yield_curve.py
+++ b/src/fixedincome/yield_curve.py
@@ -29,7 +29,7 @@ def bootstrap(cash_flows : np.ndarray, prices : np.ndarray) -> np.ndarray:
 
     discount_factors = np.linalg.inv(cash_flows) @ prices
     yields = np.power(discount_factors, np.reshape(-1 / np.arange(start=1, stop=discount_factors.shape[0]+1), newshape=discount_factors.shape)) - 1 # Formula: d = 1/(1 + y)^i
-    return yields
+    return np.reshape(yields, newshape=(yields.shape[0])) # Flatten output
 
 
 def regression():