solvency2-data

Python Package for reading the Solvency 2 Risk-Free Interest Rate Term Structures from the zip-files on the EIOPA website and deriving the term structures for alternative extrapolations.

• Free software: MIT/X license
• Documentation: https://solvency2-data.readthedocs.io/en/latest/.

Features

Here is what the package does:

• Downloading and extracting the zip-files from the EIOPA website
• Store the financial data in a local database
• Reading the term structures from Excel-files into Pandas DataFrames
• Deriving term structures for EIOPA's the new extrapolation method

Note that the implementation of EIOPA's new extrapolation method has not been approved by EIOPA.

Contributors

• Willem Jan Willemse https://codeberg.org/wjwillemse
• Peter Davidson https://github.com/pdavidsonFIA