Codes

SAS codes:

-- General-purpose SAS macros:

-- Rolling regressions (1-4 independent variables)

-- Aggregate portfolio

-- Winsorize and trim

R codes:

-- EDGAR related:

-- Download EDGAR index file by form type

-- Download NSAR forms

-- Parse NSAR forms

Python codes:

-- Corporate bonds

-- Calibrate Hull-White parameters from swaptions

-- Create intra-day zerocurve from GovPX quotes

-- Calculate option-adjusted-spreads of corporate bonds