Polish government yield curves and term premia

Polish government yield curves and term premia

This is a time-lapse video created in MATLAB depicting more than 15 years of history of Polish government bond market and fully based on on publicly available data (BondSpot.pl, Polish Ministry of Finance, National Bank of Poland).

  • 10 working dates per frame with a brief stop for primary auction results. All details carefully designed: on turnover on BondSpot.pl, on total turnover, on auctions (including switch auctions).
  • Size of bond labels is proportional to outstanding amounts on a given settlement date (calculated using MinFin data).
  • The green and red lines ending at today's point (Y,YTM) have their origins at historical data: end of previous quarter.
  • Red color indicates YTM has gone up, green that it went down.'
  • The biggest negative and positive YTM changes (quarter-to-date) is their absolute value is at least 10 bps are also captioned.
  • PRO TIP 1. to watch frame by frame: use "," and "." keys!
  • PRO TIP 2. watch in HD ! ;-)