Time_Series_Models.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "average-desert",
   "metadata": {
    "ExecuteTime": {
     "end_time": "2021-12-25T06:29:22.894672Z",
     "start_time": "2021-12-25T06:29:22.890317Z"
    }
   },
   "outputs": [],
   "source": [
    "import numpy as np\n",
    "import pandas as pd\n",
    "from statsmodels.tsa.statespace.sarimax import SARIMAX\n",
    "import os\n",
    "from sklearn.metrics import mean_squared_error\n",
    "import warnings\n",
    "warnings.filterwarnings(\"ignore\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "driven-basin",
   "metadata": {
    "ExecuteTime": {
     "end_time": "2021-12-25T06:04:32.462827Z",
     "start_time": "2021-12-25T06:04:32.411785Z"
    }
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Shape of Data:  (13642, 21)\n"
     ]
    },
    {
     "data": {
      "text/html": [
       "<div>\n",
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       "    .dataframe thead th {\n",
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Date</th>\n",
       "      <th>Tenor</th>\n",
       "      <th>0.1</th>\n",
       "      <th>0.2</th>\n",
       "      <th>0.3</th>\n",
       "      <th>0.4</th>\n",
       "      <th>0.5</th>\n",
       "      <th>0.6</th>\n",
       "      <th>0.7</th>\n",
       "      <th>0.8</th>\n",
       "      <th>...</th>\n",
       "      <th>1</th>\n",
       "      <th>1.1</th>\n",
       "      <th>1.2</th>\n",
       "      <th>1.3</th>\n",
       "      <th>1.4</th>\n",
       "      <th>1.5</th>\n",
       "      <th>1.6</th>\n",
       "      <th>1.7</th>\n",
       "      <th>1.8</th>\n",
       "      <th>1.9</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1/5/2017</td>\n",
       "      <td>2M</td>\n",
       "      <td>0.468214</td>\n",
       "      <td>0.419251</td>\n",
       "      <td>0.376260</td>\n",
       "      <td>0.338158</td>\n",
       "      <td>0.304372</td>\n",
       "      <td>0.274823</td>\n",
       "      <td>0.250066</td>\n",
       "      <td>0.231535</td>\n",
       "      <td>...</td>\n",
       "      <td>0.220933</td>\n",
       "      <td>0.228418</td>\n",
       "      <td>0.240437</td>\n",
       "      <td>0.254316</td>\n",
       "      <td>0.268613</td>\n",
       "      <td>0.282659</td>\n",
       "      <td>0.296172</td>\n",
       "      <td>0.309045</td>\n",
       "      <td>0.321260</td>\n",
       "      <td>0.332831</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>1/5/2017</td>\n",
       "      <td>3M</td>\n",
       "      <td>0.458471</td>\n",
       "      <td>0.412710</td>\n",
       "      <td>0.372717</td>\n",
       "      <td>0.337489</td>\n",
       "      <td>0.306511</td>\n",
       "      <td>0.279714</td>\n",
       "      <td>0.257540</td>\n",
       "      <td>0.241007</td>\n",
       "      <td>...</td>\n",
       "      <td>0.229423</td>\n",
       "      <td>0.233839</td>\n",
       "      <td>0.242411</td>\n",
       "      <td>0.253100</td>\n",
       "      <td>0.264611</td>\n",
       "      <td>0.276244</td>\n",
       "      <td>0.287647</td>\n",
       "      <td>0.298654</td>\n",
       "      <td>0.309196</td>\n",
       "      <td>0.319254</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>1/5/2017</td>\n",
       "      <td>6M</td>\n",
       "      <td>0.410305</td>\n",
       "      <td>0.374189</td>\n",
       "      <td>0.343045</td>\n",
       "      <td>0.316070</td>\n",
       "      <td>0.292842</td>\n",
       "      <td>0.273231</td>\n",
       "      <td>0.257346</td>\n",
       "      <td>0.245440</td>\n",
       "      <td>...</td>\n",
       "      <td>0.234116</td>\n",
       "      <td>0.234078</td>\n",
       "      <td>0.236765</td>\n",
       "      <td>0.241295</td>\n",
       "      <td>0.246945</td>\n",
       "      <td>0.253200</td>\n",
       "      <td>0.259726</td>\n",
       "      <td>0.266312</td>\n",
       "      <td>0.272831</td>\n",
       "      <td>0.279207</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>1/5/2017</td>\n",
       "      <td>9M</td>\n",
       "      <td>0.385267</td>\n",
       "      <td>0.354580</td>\n",
       "      <td>0.328360</td>\n",
       "      <td>0.305878</td>\n",
       "      <td>0.286712</td>\n",
       "      <td>0.270643</td>\n",
       "      <td>0.257590</td>\n",
       "      <td>0.247529</td>\n",
       "      <td>...</td>\n",
       "      <td>0.236030</td>\n",
       "      <td>0.234085</td>\n",
       "      <td>0.234121</td>\n",
       "      <td>0.235658</td>\n",
       "      <td>0.238264</td>\n",
       "      <td>0.241586</td>\n",
       "      <td>0.245360</td>\n",
       "      <td>0.249397</td>\n",
       "      <td>0.253564</td>\n",
       "      <td>0.257773</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>1/5/2017</td>\n",
       "      <td>1Y</td>\n",
       "      <td>0.358986</td>\n",
       "      <td>0.333608</td>\n",
       "      <td>0.312126</td>\n",
       "      <td>0.293870</td>\n",
       "      <td>0.278408</td>\n",
       "      <td>0.265457</td>\n",
       "      <td>0.254819</td>\n",
       "      <td>0.246339</td>\n",
       "      <td>...</td>\n",
       "      <td>0.235185</td>\n",
       "      <td>0.232109</td>\n",
       "      <td>0.230384</td>\n",
       "      <td>0.229760</td>\n",
       "      <td>0.230003</td>\n",
       "      <td>0.230908</td>\n",
       "      <td>0.232303</td>\n",
       "      <td>0.234052</td>\n",
       "      <td>0.236049</td>\n",
       "      <td>0.238213</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>5 rows × 21 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "       Date Tenor       0.1       0.2       0.3       0.4       0.5       0.6  \\\n",
       "0  1/5/2017    2M  0.468214  0.419251  0.376260  0.338158  0.304372  0.274823   \n",
       "1  1/5/2017    3M  0.458471  0.412710  0.372717  0.337489  0.306511  0.279714   \n",
       "2  1/5/2017    6M  0.410305  0.374189  0.343045  0.316070  0.292842  0.273231   \n",
       "3  1/5/2017    9M  0.385267  0.354580  0.328360  0.305878  0.286712  0.270643   \n",
       "4  1/5/2017    1Y  0.358986  0.333608  0.312126  0.293870  0.278408  0.265457   \n",
       "\n",
       "        0.7       0.8  ...         1       1.1       1.2       1.3       1.4  \\\n",
       "0  0.250066  0.231535  ...  0.220933  0.228418  0.240437  0.254316  0.268613   \n",
       "1  0.257540  0.241007  ...  0.229423  0.233839  0.242411  0.253100  0.264611   \n",
       "2  0.257346  0.245440  ...  0.234116  0.234078  0.236765  0.241295  0.246945   \n",
       "3  0.257590  0.247529  ...  0.236030  0.234085  0.234121  0.235658  0.238264   \n",
       "4  0.254819  0.246339  ...  0.235185  0.232109  0.230384  0.229760  0.230003   \n",
       "\n",
       "        1.5       1.6       1.7       1.8       1.9  \n",
       "0  0.282659  0.296172  0.309045  0.321260  0.332831  \n",
       "1  0.276244  0.287647  0.298654  0.309196  0.319254  \n",
       "2  0.253200  0.259726  0.266312  0.272831  0.279207  \n",
       "3  0.241586  0.245360  0.249397  0.253564  0.257773  \n",
       "4  0.230908  0.232303  0.234052  0.236049  0.238213  \n",
       "\n",
       "[5 rows x 21 columns]"
      ]
     },
     "execution_count": 2,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "data = pd.read_csv('Data/training_data.csv')\n",
    "print('Shape of Data: ', data.shape)\n",
    "data.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "id": "announced-celebrity",
   "metadata": {
    "ExecuteTime": {
     "end_time": "2021-12-25T06:04:32.503145Z",
     "start_time": "2021-12-25T06:04:32.494547Z"
    }
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "<class 'pandas.core.frame.DataFrame'>\n",
      "RangeIndex: 13642 entries, 0 to 13641\n",
      "Data columns (total 21 columns):\n",
      " #   Column  Non-Null Count  Dtype  \n",
      "---  ------  --------------  -----  \n",
      " 0   Date    13642 non-null  object \n",
      " 1   Tenor   13642 non-null  object \n",
      " 2   0.1     13642 non-null  float64\n",
      " 3   0.2     13642 non-null  float64\n",
      " 4   0.3     13642 non-null  float64\n",
      " 5   0.4     13642 non-null  float64\n",
      " 6   0.5     13642 non-null  float64\n",
      " 7   0.6     13642 non-null  float64\n",
      " 8   0.7     13642 non-null  float64\n",
      " 9   0.8     13642 non-null  float64\n",
      " 10  0.9     13642 non-null  float64\n",
      " 11  1       13642 non-null  float64\n",
      " 12  1.1     13642 non-null  float64\n",
      " 13  1.2     13642 non-null  float64\n",
      " 14  1.3     13642 non-null  float64\n",
      " 15  1.4     13642 non-null  float64\n",
      " 16  1.5     13642 non-null  float64\n",
      " 17  1.6     13642 non-null  float64\n",
      " 18  1.7     13642 non-null  float64\n",
      " 19  1.8     13642 non-null  float64\n",
      " 20  1.9     13642 non-null  float64\n",
      "dtypes: float64(19), object(2)\n",
      "memory usage: 2.2+ MB\n"
     ]
    }
   ],
   "source": [
    "data.info()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "molecular-appearance",
   "metadata": {
    "ExecuteTime": {
     "end_time": "2021-12-25T06:26:52.680605Z",
     "start_time": "2021-12-25T06:04:33.482147Z"
    },
    "scrolled": true
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "RMSE of Model 10Y 0:  0.04836441827549115\n",
      "RMSE of Model 10Y 1:  0.04556596787182114\n",
      "RMSE of Model 10Y 2:  0.04384869604764117\n",
      "RMSE of Model 10Y 3:  0.042879339611901865\n",
      "RMSE of Model 10Y 4:  0.04241654063271475\n",
      "RMSE of Model 10Y 5:  0.04227450703830954\n",
      "RMSE of Model 10Y 6:  0.04230480440693243\n",
      "RMSE of Model 10Y 7:  0.04236476362183114\n",
      "RMSE of Model 10Y 8:  0.04241617096861248\n",
      "RMSE of Model 10Y 9:  0.042306590697177224\n",
      "RMSE of Model 10Y 10:  0.041993349695505694\n",
      "RMSE of Model 10Y 11:  0.04143376691800002\n",
      "RMSE of Model 10Y 12:  0.04060853963693271\n",
      "RMSE of Model 10Y 13:  0.03954925771210537\n",
      "RMSE of Model 10Y 14:  0.03826859417319216\n",
      "RMSE of Model 10Y 15:  0.03684510674358978\n",
      "RMSE of Model 10Y 16:  0.03535331527905646\n",
      "RMSE of Model 10Y 17:  0.03384533618287751\n",
      "RMSE of Model 10Y 18:  0.03239874661429332\n",
      "RMSE of Model 15Y 0:  0.04652151352312884\n",
      "RMSE of Model 15Y 1:  0.04551673552423882\n",
      "RMSE of Model 15Y 2:  0.04532153991663466\n",
      "RMSE of Model 15Y 3:  0.04568048665700524\n",
      "RMSE of Model 15Y 4:  0.04629226643712603\n",
      "RMSE of Model 15Y 5:  0.047006291660336014\n",
      "RMSE of Model 15Y 6:  0.047702578009546526\n",
      "RMSE of Model 15Y 7:  0.048278135742534686\n",
      "RMSE of Model 15Y 8:  0.0486418017864813\n",
      "RMSE of Model 15Y 9:  0.04871451551829662\n",
      "RMSE of Model 15Y 10:  0.04843412537567399\n",
      "RMSE of Model 15Y 11:  0.04776322545081117\n",
      "RMSE of Model 15Y 12:  0.04669660768466199\n",
      "RMSE of Model 15Y 13:  0.04526451141171044\n",
      "RMSE of Model 15Y 14:  0.04352903197523157\n",
      "RMSE of Model 15Y 15:  0.04157424575303871\n",
      "RMSE of Model 15Y 16:  0.039493742028486954\n",
      "RMSE of Model 15Y 17:  0.03737929006530174\n",
      "RMSE of Model 15Y 18:  0.035312982792910126\n",
      "RMSE of Model 1Y 0:  0.08708636454972059\n",
      "RMSE of Model 1Y 1:  0.08287624172877346\n",
      "RMSE of Model 1Y 2:  0.07842497681900956\n",
      "RMSE of Model 1Y 3:  0.07379933912575615\n",
      "RMSE of Model 1Y 4:  0.06904626300689269\n",
      "RMSE of Model 1Y 5:  0.06419723852155106\n",
      "RMSE of Model 1Y 6:  0.05930014648181127\n",
      "RMSE of Model 1Y 7:  0.0544420950064786\n",
      "RMSE of Model 1Y 8:  0.04976290984035059\n",
      "RMSE of Model 1Y 9:  0.04547546819890203\n",
      "RMSE of Model 1Y 10:  0.04179480556716867\n",
      "RMSE of Model 1Y 11:  0.03891386925782237\n",
      "RMSE of Model 1Y 12:  0.036913119201453806\n",
      "RMSE of Model 1Y 13:  0.03573464463425528\n",
      "RMSE of Model 1Y 14:  0.03521572744964887\n",
      "RMSE of Model 1Y 15:  0.035157524476139394\n",
      "RMSE of Model 1Y 16:  0.03538221130863439\n",
      "RMSE of Model 1Y 17:  0.03575781328409102\n",
      "RMSE of Model 1Y 18:  0.03619805389581612\n",
      "RMSE of Model 20Y 0:  0.0511072565232287\n",
      "RMSE of Model 20Y 1:  0.050463986848127966\n",
      "RMSE of Model 20Y 2:  0.05045040420397329\n",
      "RMSE of Model 20Y 3:  0.051062350812075316\n",
      "RMSE of Model 20Y 4:  0.05219858321048262\n",
      "RMSE of Model 20Y 5:  0.053364699069530896\n",
      "RMSE of Model 20Y 6:  0.054389136251192696\n",
      "RMSE of Model 20Y 7:  0.05517736850737191\n",
      "RMSE of Model 20Y 8:  0.0556369813259305\n",
      "RMSE of Model 20Y 9:  0.05568266472446296\n",
      "RMSE of Model 20Y 10:  0.05524734975817515\n",
      "RMSE of Model 20Y 11:  0.054296864901635336\n",
      "RMSE of Model 20Y 12:  0.05284188794638275\n",
      "RMSE of Model 20Y 13:  0.050940422399802364\n",
      "RMSE of Model 20Y 14:  0.048687935885113276\n",
      "RMSE of Model 20Y 15:  0.046199526776951175\n",
      "RMSE of Model 20Y 16:  0.04359164548093212\n",
      "RMSE of Model 20Y 17:  0.04096913255639203\n",
      "RMSE of Model 20Y 18:  0.03841887072997115\n",
      "RMSE of Model 25Y 0:  0.05855183278395932\n",
      "RMSE of Model 25Y 1:  0.05725771728186468\n",
      "RMSE of Model 25Y 2:  0.056655338545544824\n",
      "RMSE of Model 25Y 3:  0.05668402365229063\n",
      "RMSE of Model 25Y 4:  0.057310061207457276\n",
      "RMSE of Model 25Y 5:  0.05844658242474566\n",
      "RMSE of Model 25Y 6:  0.0595241387030845\n",
      "RMSE of Model 25Y 7:  0.06030480532864215\n",
      "RMSE of Model 25Y 8:  0.06069184613298494\n",
      "RMSE of Model 25Y 9:  0.06059567074865389\n",
      "RMSE of Model 25Y 10:  0.059949666690613586\n",
      "RMSE of Model 25Y 11:  0.0587287444412395\n",
      "RMSE of Model 25Y 12:  0.05696681654435679\n",
      "RMSE of Model 25Y 13:  0.05472991607671308\n",
      "RMSE of Model 25Y 14:  0.05215000159826563\n",
      "RMSE of Model 25Y 15:  0.049351779506217865\n",
      "RMSE of Model 25Y 16:  0.04645820262034644\n",
      "RMSE of Model 25Y 17:  0.04357401645536286\n",
      "RMSE of Model 25Y 18:  0.0407819365135433\n",
      "RMSE of Model 2M 0:  0.16359521725273168\n",
      "RMSE of Model 2M 1:  0.15549061773283035\n",
      "RMSE of Model 2M 2:  0.14726132401132008\n",
      "RMSE of Model 2M 3:  0.1389732472844031\n",
      "RMSE of Model 2M 4:  0.1307251836384042\n",
      "RMSE of Model 2M 5:  0.12213565083908434\n",
      "RMSE of Model 2M 6:  0.11327358627387378\n",
      "RMSE of Model 2M 7:  0.10346587382976459\n",
      "RMSE of Model 2M 8:  0.09219869262756084\n",
      "RMSE of Model 2M 9:  0.07931474061445498\n",
      "RMSE of Model 2M 10:  0.06655213209102454\n",
      "RMSE of Model 2M 11:  0.05676144767442217\n",
      "RMSE of Model 2M 12:  0.051262789594692354\n",
      "RMSE of Model 2M 13:  0.049154901650242736\n",
      "RMSE of Model 2M 14:  0.04902113930824914\n",
      "RMSE of Model 2M 15:  0.04989848814787623\n",
      "RMSE of Model 2M 16:  0.05122814598185563\n",
      "RMSE of Model 2M 17:  0.05273196426184238\n",
      "RMSE of Model 2M 18:  0.05433488645025558\n",
      "RMSE of Model 2Y 0:  0.06204325020000374\n",
      "RMSE of Model 2Y 1:  0.060162174832023\n",
      "RMSE of Model 2Y 2:  0.05823924407425081\n",
      "RMSE of Model 2Y 3:  0.05625237346768588\n",
      "RMSE of Model 2Y 4:  0.05419020616816499\n",
      "RMSE of Model 2Y 5:  0.05204800680921706\n",
      "RMSE of Model 2Y 6:  0.0498302123872877\n",
      "RMSE of Model 2Y 7:  0.047555451084859\n",
      "RMSE of Model 2Y 8:  0.04526151605728196\n",
      "RMSE of Model 2Y 9:  0.04300747782167487\n",
      "RMSE of Model 2Y 10:  0.04087034907524748\n",
      "RMSE of Model 2Y 11:  0.03893495594703613\n",
      "RMSE of Model 2Y 12:  0.03727885376323583\n",
      "RMSE of Model 2Y 13:  0.03595699036732326\n",
      "RMSE of Model 2Y 14:  0.03499173404617534\n",
      "RMSE of Model 2Y 15:  0.03437171158990146\n",
      "RMSE of Model 2Y 16:  0.03405879405225677\n",
      "RMSE of Model 2Y 17:  0.03399937209051184\n",
      "RMSE of Model 2Y 18:  0.03413550338342295\n",
      "RMSE of Model 30Y 0:  0.06497488035785091\n",
      "RMSE of Model 30Y 1:  0.06307969026250669\n",
      "RMSE of Model 30Y 2:  0.06196568662151777\n",
      "RMSE of Model 30Y 3:  0.06152689796598664\n",
      "RMSE of Model 30Y 4:  0.06169720554980902\n",
      "RMSE of Model 30Y 5:  0.06243727270733996\n",
      "RMSE of Model 30Y 6:  0.06339849261129035\n",
      "RMSE of Model 30Y 7:  0.06404105203523919\n",
      "RMSE of Model 30Y 8:  0.0642560637618166\n",
      "RMSE of Model 30Y 9:  0.06396343787300932\n",
      "RMSE of Model 30Y 10:  0.06311118583434691\n",
      "RMSE of Model 30Y 11:  0.06169223141898753\n",
      "RMSE of Model 30Y 12:  0.05975223516271379\n",
      "RMSE of Model 30Y 13:  0.05738261849945464\n",
      "RMSE of Model 30Y 14:  0.054701697424126304\n",
      "RMSE of Model 30Y 15:  0.05183299034848732\n",
      "RMSE of Model 30Y 16:  0.04888896268902797\n",
      "RMSE of Model 30Y 17:  0.04596274675234553\n",
      "RMSE of Model 30Y 18:  0.043126483644463\n",
      "RMSE of Model 3M 0:  0.12080304066559956\n",
      "RMSE of Model 3M 1:  0.11629993130201108\n",
      "RMSE of Model 3M 2:  0.11172889738225605\n",
      "RMSE of Model 3M 3:  0.10700513752675138\n",
      "RMSE of Model 3M 4:  0.10213145439215884\n",
      "RMSE of Model 3M 5:  0.09698682599424588\n",
      "RMSE of Model 3M 6:  0.09129885462881807\n",
      "RMSE of Model 3M 7:  0.08465126183827087\n",
      "RMSE of Model 3M 8:  0.07651331417697525\n",
      "RMSE of Model 3M 9:  0.06687429104990104\n",
      "RMSE of Model 3M 10:  0.05682346069532819\n",
      "RMSE of Model 3M 11:  0.04855187861400608\n",
      "RMSE of Model 3M 12:  0.04362662717457913\n",
      "RMSE of Model 3M 13:  0.04190281160558561\n",
      "RMSE of Model 3M 14:  0.04223062433980919\n",
      "RMSE of Model 3M 15:  0.043575689914109\n",
      "RMSE of Model 3M 16:  0.045315951312367986\n",
      "RMSE of Model 3M 17:  0.04714693352673974\n",
      "RMSE of Model 3M 18:  0.04893475804206817\n",
      "RMSE of Model 3Y 0:  0.05447037705039571\n",
      "RMSE of Model 3Y 1:  0.05260241594433469\n",
      "RMSE of Model 3Y 2:  0.05105129229952897\n",
      "RMSE of Model 3Y 3:  0.04966824348886487\n",
      "RMSE of Model 3Y 4:  0.04836402821795847\n",
      "RMSE of Model 3Y 5:  0.04708031344126301\n",
      "RMSE of Model 3Y 6:  0.04577784710484336\n",
      "RMSE of Model 3Y 7:  0.044432534280095075\n",
      "RMSE of Model 3Y 8:  0.043035256266919945\n",
      "RMSE of Model 3Y 9:  0.04159300928389866\n",
      "RMSE of Model 3Y 10:  0.04012935061516073\n",
      "RMSE of Model 3Y 11:  0.03868255031253452\n",
      "RMSE of Model 3Y 12:  0.03730077235219566\n",
      "RMSE of Model 3Y 13:  0.03603474029904825\n",
      "RMSE of Model 3Y 14:  0.03492967520529259\n",
      "RMSE of Model 3Y 15:  0.034018551961343506\n",
      "RMSE of Model 3Y 16:  0.03331833381747119\n",
      "RMSE of Model 3Y 17:  0.03282964038562459\n",
      "RMSE of Model 3Y 18:  0.0325393340839806\n",
      "RMSE of Model 40Y 0:  0.07661230743802815\n",
      "RMSE of Model 40Y 1:  0.07368965312115812\n",
      "RMSE of Model 40Y 2:  0.07169124359912535\n",
      "RMSE of Model 40Y 3:  0.07044417049384145\n",
      "RMSE of Model 40Y 4:  0.06983358932777115\n"
     ]
    },
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "RMSE of Model 40Y 5:  0.06978277226616823\n",
      "RMSE of Model 40Y 6:  0.07023309801368323\n",
      "RMSE of Model 40Y 7:  0.07063760630319141\n",
      "RMSE of Model 40Y 8:  0.07054566903266057\n",
      "RMSE of Model 40Y 9:  0.06989004711079788\n",
      "RMSE of Model 40Y 10:  0.06864693696679879\n",
      "RMSE of Model 40Y 11:  0.06684174500045839\n",
      "RMSE of Model 40Y 12:  0.06454796502801174\n",
      "RMSE of Model 40Y 13:  0.06187277829706898\n",
      "RMSE of Model 40Y 14:  0.0589364214215393\n",
      "RMSE of Model 40Y 15:  0.05585310483460866\n",
      "RMSE of Model 40Y 16:  0.052724161763744365\n",
      "RMSE of Model 40Y 17:  0.0496285957678515\n",
      "RMSE of Model 40Y 18:  0.04662526282058903\n",
      "RMSE of Model 4Y 0:  0.05260873939733818\n",
      "RMSE of Model 4Y 1:  0.04984658974390072\n",
      "RMSE of Model 4Y 2:  0.04779202384742003\n",
      "RMSE of Model 4Y 3:  0.046195569259203095\n",
      "RMSE of Model 4Y 4:  0.044897573888685025\n",
      "RMSE of Model 4Y 5:  0.0437881087931883\n",
      "RMSE of Model 4Y 6:  0.042787200921657165\n",
      "RMSE of Model 4Y 7:  0.04183526115835605\n",
      "RMSE of Model 4Y 8:  0.04088901749347424\n",
      "RMSE of Model 4Y 9:  0.03992047697445653\n",
      "RMSE of Model 4Y 10:  0.038917128450511713\n",
      "RMSE of Model 4Y 11:  0.037881921452389236\n",
      "RMSE of Model 4Y 12:  0.03683189084012948\n",
      "RMSE of Model 4Y 13:  0.03579480285471194\n",
      "RMSE of Model 4Y 14:  0.03480421139999224\n",
      "RMSE of Model 4Y 15:  0.033893863393624234\n",
      "RMSE of Model 4Y 16:  0.03309265382372075\n",
      "RMSE of Model 4Y 17:  0.03242119505652472\n",
      "RMSE of Model 4Y 18:  0.031890334221887355\n",
      "RMSE of Model 5Y 0:  0.053025823065717834\n",
      "RMSE of Model 5Y 1:  0.049405416298727974\n",
      "RMSE of Model 5Y 2:  0.04678794678699509\n",
      "RMSE of Model 5Y 3:  0.04486151054121911\n",
      "RMSE of Model 5Y 4:  0.043414908704233965\n",
      "RMSE of Model 5Y 5:  0.04229486773012937\n",
      "RMSE of Model 5Y 6:  0.041384238638685344\n",
      "RMSE of Model 5Y 7:  0.04059093972110774\n",
      "RMSE of Model 5Y 8:  0.03984287732642789\n",
      "RMSE of Model 5Y 9:  0.03908638903526863\n",
      "RMSE of Model 5Y 10:  0.03828653963058425\n",
      "RMSE of Model 5Y 11:  0.03742773214584704\n",
      "RMSE of Model 5Y 12:  0.03651330727838079\n",
      "RMSE of Model 5Y 13:  0.03556316665663043\n",
      "RMSE of Model 5Y 14:  0.03460927985172001\n",
      "RMSE of Model 5Y 15:  0.03368971689513318\n",
      "RMSE of Model 5Y 16:  0.032842433755021154\n",
      "RMSE of Model 5Y 17:  0.03210006300117963\n",
      "RMSE of Model 5Y 18:  0.03148641434773582\n",
      "RMSE of Model 6M 0:  0.09366049002538725\n",
      "RMSE of Model 6M 1:  0.09069388392463186\n",
      "RMSE of Model 6M 2:  0.08745734739671866\n",
      "RMSE of Model 6M 3:  0.08397159492973419\n",
      "RMSE of Model 6M 4:  0.0801947569572845\n",
      "RMSE of Model 6M 5:  0.07603210619354506\n",
      "RMSE of Model 6M 6:  0.07134501551020542\n",
      "RMSE of Model 6M 7:  0.06599274323278441\n",
      "RMSE of Model 6M 8:  0.05994435035876195\n",
      "RMSE of Model 6M 9:  0.05346114237850646\n",
      "RMSE of Model 6M 10:  0.04721663697501093\n",
      "RMSE of Model 6M 11:  0.042123574257412186\n",
      "RMSE of Model 6M 12:  0.03885746954626571\n",
      "RMSE of Model 6M 13:  0.03751676439546169\n",
      "RMSE of Model 6M 14:  0.0376128990242744\n",
      "RMSE of Model 6M 15:  0.03859530797001854\n",
      "RMSE of Model 6M 16:  0.0399953262636406\n",
      "RMSE of Model 6M 17:  0.04153306895348403\n",
      "RMSE of Model 6M 18:  0.04306134497653034\n",
      "RMSE of Model 6Y 0:  0.051974766676155894\n",
      "RMSE of Model 6Y 1:  0.04843354107849464\n",
      "RMSE of Model 6Y 2:  0.04591788271442362\n",
      "RMSE of Model 6Y 3:  0.04411424722955025\n",
      "RMSE of Model 6Y 4:  0.042807145159541295\n",
      "RMSE of Model 6Y 5:  0.041837597638800426\n",
      "RMSE of Model 6Y 6:  0.04108194285397499\n",
      "RMSE of Model 6Y 7:  0.040440956845141\n",
      "RMSE of Model 6Y 8:  0.03983489163287346\n",
      "RMSE of Model 6Y 9:  0.0392020734803968\n",
      "RMSE of Model 6Y 10:  0.038499608789908976\n",
      "RMSE of Model 6Y 11:  0.0377047530000008\n",
      "RMSE of Model 6Y 12:  0.03681547269716272\n",
      "RMSE of Model 6Y 13:  0.03584903388444421\n",
      "RMSE of Model 6Y 14:  0.034838112691012856\n",
      "RMSE of Model 6Y 15:  0.033824882561000226\n",
      "RMSE of Model 6Y 16:  0.03285428760205674\n",
      "RMSE of Model 6Y 17:  0.03196784851275097\n",
      "RMSE of Model 6Y 18:  0.031199085005422057\n",
      "RMSE of Model 7Y 0:  0.0513590248393058\n",
      "RMSE of Model 7Y 1:  0.04778672666754758\n",
      "RMSE of Model 7Y 2:  0.04527984822188545\n",
      "RMSE of Model 7Y 3:  0.043520657240127436\n",
      "RMSE of Model 7Y 4:  0.04228749681567918\n",
      "RMSE of Model 7Y 5:  0.0414142958378476\n",
      "RMSE of Model 7Y 6:  0.04076997063234972\n",
      "RMSE of Model 7Y 7:  0.040247801932656965\n",
      "RMSE of Model 7Y 8:  0.03976047597880277\n",
      "RMSE of Model 7Y 9:  0.03923869596434855\n",
      "RMSE of Model 7Y 10:  0.038632002146203354\n",
      "RMSE of Model 7Y 11:  0.03791055470900721\n",
      "RMSE of Model 7Y 12:  0.0370663774871763\n",
      "RMSE of Model 7Y 13:  0.03611277436526392\n",
      "RMSE of Model 7Y 14:  0.03508106533790454\n",
      "RMSE of Model 7Y 15:  0.03401496899937062\n",
      "RMSE of Model 7Y 16:  0.03297448389471581\n",
      "RMSE of Model 7Y 17:  0.03197510079268426\n",
      "RMSE of Model 7Y 18:  0.031090357381952323\n",
      "RMSE of Model 8Y 0:  0.05000090638704453\n",
      "RMSE of Model 8Y 1:  0.04675595665282534\n",
      "RMSE of Model 8Y 2:  0.04456934068748072\n",
      "RMSE of Model 8Y 3:  0.04312158219917501\n",
      "RMSE of Model 8Y 4:  0.04218664508896081\n",
      "RMSE of Model 8Y 5:  0.0415932164718524\n",
      "RMSE of Model 8Y 6:  0.041204893411187424\n",
      "RMSE of Model 8Y 7:  0.04090962052830806\n",
      "RMSE of Model 8Y 8:  0.04061460616687405\n",
      "RMSE of Model 8Y 9:  0.04024492798459974\n",
      "RMSE of Model 8Y 10:  0.03974468961876281\n",
      "RMSE of Model 8Y 11:  0.039079495620340514\n",
      "RMSE of Model 8Y 12:  0.03823868506676348\n",
      "RMSE of Model 8Y 13:  0.037235581891421676\n",
      "RMSE of Model 8Y 14:  0.0361047334016254\n",
      "RMSE of Model 8Y 15:  0.034896158192660766\n",
      "RMSE of Model 8Y 16:  0.03366777621855963\n",
      "RMSE of Model 8Y 17:  0.032477768169732336\n",
      "RMSE of Model 8Y 18:  0.03137821097107587\n",
      "RMSE of Model 9M 0:  0.08866040106933212\n",
      "RMSE of Model 9M 1:  0.08507907808564273\n",
      "RMSE of Model 9M 2:  0.08120641216536097\n",
      "RMSE of Model 9M 3:  0.07714314587025745\n",
      "RMSE of Model 9M 4:  0.07285986052094336\n",
      "RMSE of Model 9M 5:  0.0682712915693745\n",
      "RMSE of Model 9M 6:  0.06342879295576956\n",
      "RMSE of Model 9M 7:  0.05831657916384016\n",
      "RMSE of Model 9M 8:  0.05306404290187081\n",
      "RMSE of Model 9M 9:  0.04795007915490865\n",
      "RMSE of Model 9M 10:  0.04338075327966116\n",
      "RMSE of Model 9M 11:  0.039841294372429815\n",
      "RMSE of Model 9M 12:  0.03751979350756324\n",
      "RMSE of Model 9M 13:  0.03642558593866205\n",
      "RMSE of Model 9M 14:  0.036267672700157134\n",
      "RMSE of Model 9M 15:  0.03671072521212897\n",
      "RMSE of Model 9M 16:  0.03747726479452895\n",
      "RMSE of Model 9M 17:  0.03838175632230102\n",
      "RMSE of Model 9M 18:  0.03931580892141411\n",
      "RMSE of Model 9Y 0:  0.04906103766428548\n",
      "RMSE of Model 9Y 1:  0.04606378862175603\n",
      "RMSE of Model 9Y 2:  0.044131459236182675\n",
      "RMSE of Model 9Y 3:  0.042939313793084896\n",
      "RMSE of Model 9Y 4:  0.042254658695762684\n",
      "RMSE of Model 9Y 5:  0.04189957699752402\n",
      "RMSE of Model 9Y 6:  0.04173175416789358\n",
      "RMSE of Model 9Y 7:  0.041633846525314315\n",
      "RMSE of Model 9Y 8:  0.041508037277216046\n",
      "RMSE of Model 9Y 9:  0.04127441084286663\n",
      "RMSE of Model 9Y 10:  0.040872263756531024\n",
      "RMSE of Model 9Y 11:  0.040263090891770596\n",
      "RMSE of Model 9Y 12:  0.039433592447603416\n",
      "RMSE of Model 9Y 13:  0.0383967061797441\n",
      "RMSE of Model 9Y 14:  0.03718921867291171\n",
      "RMSE of Model 9Y 15:  0.03586594409227091\n",
      "RMSE of Model 9Y 16:  0.03449861468739976\n",
      "RMSE of Model 9Y 17:  0.03309976335864332\n",
      "RMSE of Model 9Y 18:  0.031845447155841484\n"
     ]
    }
   ],
   "source": [
    "idx = pd.date_range('1/5/2017', '10/14/2019')\n",
    "\n",
    "for g in data.groupby('Tenor').groups:\n",
    "    grp = data.groupby('Tenor').get_group(g)\n",
    "    grp = grp.set_index(['Date'])\n",
    "    grp.index = pd.DatetimeIndex(grp.index)\n",
    "    \n",
    "    grp = grp.reindex(idx, fill_value = np.nan)\n",
    "    grp = grp.backfill()\n",
    "    \n",
    "    train = grp.iloc[:-(60), :].drop(['Tenor'], axis = 1)\n",
    "    validation = grp.iloc[-(60):, :].drop(['Tenor'], axis = 1)\n",
    "    \n",
    "    for i in range(19):\n",
    "        train_1 = train.iloc[:, i]\n",
    "        validation_1 = validation.iloc[:,i]\n",
    "    \n",
    "        model = SARIMAX(np.asarray(train_1), order = (1,1,1), seasonal_order=(1,1,1,12))\n",
    "        \n",
    "        model_fit = model.fit()\n",
    "        \n",
    "        preds = model_fit.predict(start = 0, end = len(validation)-1)\n",
    "        print(\"RMSE of Model \"+g+' '+str(i)+': ', mean_squared_error(validation_1.values, preds, squared = False))\n",
    "        name = g + '_' + str(i) + '.pkl'\n",
    "        \n",
    "        if os.path.isdir('Models') == False:\n",
    "            os.mkdir('Models')\n",
    "        \n",
    "        model_fit.save('Models/'+name)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "upset-puzzle",
   "metadata": {},
   "outputs": [],
   "source": []
  }
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