I have a project in mind that I am working on, but have little idea where to start. I am a relative newcomer to python (about 1 years exp.) and limited knowledge of quant finance.
What I would like to do is simulate possible yield curves going out 1-3 years. To do this, I planned on scraping the US Treasury website for historical data, and deriving historical daily changes in rates and correlations between terms. Then use Monte Carlo simulation to forecast future curves. - I have built a version of this in excel and crystal ball, but would like to code it in python....
On top of this, I would also like to compute how different bond structures perform during those simulations... bullets, vs short term callable bonds, etc.
I am thinking i would need to use PyMC for the simulation... Any ideas on how to effectively price the various bond structures?
Is this whole thing a worthless idea?