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Replicates the script for generating the Wu Xia shadow rate term structure model in python

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Wu_Xia

Please check author’s (Cynthia Wu) webpage for original code and documentation: http://faculty.chicagobooth.edu/jing.wu/research/zip/WX.zip

Only the main file (main_srtsm.m) in the original code has been replicated in python along with the related dependencies. The script generates 6 plots and the shadow rate in a csv format.

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Replicates the script for generating the Wu Xia shadow rate term structure model in python

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