# CLAUDE.md — The Yield Curve at One-Minute Resolution

Project ID: wp47_uqo (internal; the paper carries no working-paper number) · Folder (laptop): ~/Desktop/wp47-nelson-siegel-intraday · Compute: M3U96a ~/wp47_uqo Working title: The Yield Curve at One-Minute Resolution: Nelson–Siegel Factor-Mimicking Portfolios from Treasury Futures Author: Guillaume Manseau (Université Laval) · Language: English · Brief: docs/BRIEF.md · Design: docs/DESIGN.md

# Core idea

Daily Nelson–Siegel (NS) factors (level, slope, curvature) are projected on the daily returns of six Treasury futures (ZT, ZF, ZN, TN, US, UB) to obtain factor-mimicking portfolios. Applying the portfolio weights to one-minute futures returns yields minute-by-minute NS factor changes over the 23-hour CME session, 2008–2026. We validate the construction out of sample, then study (i) the intraday anatomy of level/slope/curvature around FOMC, CPI and Employment releases, (ii) the intraday periodicity and realized (co)variation of the factors, (iii) HAR forecasts of factor realized variance.

# Hard rules

1. Never fabricate data, estimates, references, DOIs or p-values. Every number in the paper comes from code in results/.
2. Pre-registration: docs/DESIGN.md §Hypotheses is frozen (git tag design-frozen) before any event-study or forecast result is inspected. Validation (§H1) is inspected first by construction.
3. Data: FinData OS (FirstRate Data, private licence) is the only intraday source. No raw bars in git, logs, figures or paper (aggregates only). Key: ~/findata-secrets/api-key-wp47.txt (node) / ~/Desktop/Cluster/secrets/findata/api-key-wp47.txt (laptop) or $FINDATA_API_KEY; never logged.
4. Public data (FRED CMT yields, Fed GSW parameters, FOMC/BLS/ALFRED calendars) are kept in data/external/ with download timestamps (DOWNLOADED_AT.txt).
5. Units: yields and factors in percentage points; futures returns in percent; realized variances in (pp)² per day.
6. Remote-first for computation (M3U96a), laptop = LaTeX + mirror. rsync code to the node, results back.
7. No external publication (SSRN, web) without explicit authorization. Private gitsrv mirror is routine.

# Layout

src/wp47/ (library) · scripts/NN_*.py (pipeline, in order) · data/external/ (public inputs) · data/cache/ (node only, Parquet, gitignored) · results/{metrics,tables,figures} · paper/ (LaTeX, template Recherche-UQO) · docs/