📈 Fixed Income Portfolio Risk & Performance Tracker

Python tool for analyzing US Treasury yield trends, calculating daily returns, and assessing fixed income portfolio risk using historical data.

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Overview

Quantitative analysis tool built to monitor US Treasury yield movements, compute daily return distributions, and assess portfolio risk through VaR analysis. Designed for fixed income analysts who need a fast, repeatable way to evaluate yield-curve behavior and exposure.

Key Metrics

Metric	Description
Average Yield	Mean yield over the analysis period
Yield Volatility	Standard deviation of daily return series
95% VaR	Value at Risk — worst expected daily loss at 95% confidence

Features

• Treasury Yield Tracking — Fetches 10-year US Treasury yield data (^TNX) via yfinance
• Daily Return Analysis — Computes percentage changes to measure day-over-day yield movements
• VaR Calculation — 95th percentile Value at Risk using historical simulation
• Yield Curve Visualization — Interactive plots of yield trends over time
• Volatility Assessment — Standard deviation of returns as a proxy for yield risk

Tech Stack

Component	Technology
Language	Python 3.9+
Data	yfinance (US Treasury yields)
Analytics	pandas, NumPy
Visualization	Matplotlib
Risk Model	Historical VaR (95% confidence)

Quick Start

git clone https://github.com/RHarmit/Fixed-Income-Portfolio-Risk-Performance-Tracker.git
cd Fixed-Income-Portfolio-Risk-Performance-Tracker
pip install yfinance pandas numpy matplotlib
python FI.PY

How It Works

Treasury Data → Daily Returns → Risk Metrics (VaR, Volatility) → Yield Trend Charts

1. Fetch — Downloads historical 10Y Treasury yield via ^TNX
2. Transform — Calculates daily percentage returns, cleans NaN values
3. Analyze — Computes average yield, volatility, and 95% VaR
4. Visualize — Plots yield trend over time with grid overlay