Bullet Strategy Bond Portfolio Backtest

Overview

This repository contains all the essential components for backtesting a bullet strategy bond portfolio. The bullet strategy involves buying bonds that all mature at the same time, targeting a specific segment of the yield curve. This strategy is useful for investors who have a specific time horizon in mind and want to mitigate the interest rate risk to some extent.

Repository Structure

python_files/: This directory contains Python scripts that are crucial for running the backtest. The main file, backtest_code.py, includes code for generating synthetic interest rate data, initializing the bond portfolio, and performing the backtest.
csv_files/: Data files in CSV format are stored here. The file interest_rate_data.csv contains the synthetic interest rate data, and portfolio_data.csv contains detailed information about the portfolio over time.
plots/: Graphical representations of the portfolio performance are stored in this directory. The file portfolio_performance.png shows how the portfolio value changes over time along with fluctuating interest rates.

Requirements

Python 3.x
NumPy
pandas
Matplotlib

How to Run the Backtest

Environment Setup: Make sure you have Python 3.x installed along with the required packages: NumPy, pandas, and Matplotlib.
Clone the Repository: Clone this repository to your local machine.
Run the Python Script: Navigate to the python_files/ directory and run backtest_code.py. This will execute the backtest based on the synthetic interest rate data.
Analyze the Results: Once the backtest is complete, you can analyze the portfolio's performance using the generated CSV files and plots.

Contributing

Feel free to fork this repository and make your own modifications. Pull requests for improvements or bug fixes are welcome.

Contact

For any questions or clarifications, please open an issue in this repository.

AIM-IT4/Bullet-Ladder-strategy-for-a-bond-portfolio