QR · stage 4 project

Level, slope and curvature factor study

About 10 hours. Deliver: A factor notebook, model comparison table and limitations memo.

1. Use 2Y, 5Y and 10Y curves to construct level, slope and curvature in explicit units.
2. Fit PCA only on an earlier segment and compare the resulting factors with simple hand-built shapes.
3. Compare AR or linear forecasts with a regularised alternative under identical dates and MAE.
4. Discuss capacity, quote timing, stability and why additional complexity may have no gain.