spb/wp47_uqo

1# CLAUDE.md — The Yield Curve at One-Minute Resolution23**Project ID:** `wp47_uqo` (internal; the paper carries no working-paper number) · **Folder (laptop):** `~/Desktop/wp47-nelson-siegel-intraday` · **Compute:** M3U96a `~/wp47_uqo`4**Working title:** *The Yield Curve at One-Minute Resolution: Nelson–Siegel Factor-Mimicking Portfolios from Treasury Futures*5**Author:** Guillaume Manseau (Université Laval) · **Language:** English · Brief: `docs/BRIEF.md` · Design: `docs/DESIGN.md`67## Core idea8Daily Nelson–Siegel (NS) factors (level, slope, curvature) are projected on the daily returns of six Treasury futures9(ZT, ZF, ZN, TN, US, UB) to obtain factor-mimicking portfolios. Applying the portfolio weights to one-minute futures returns10yields minute-by-minute NS factor changes over the 23-hour CME session, 2008–2026. We validate the construction out of11sample, then study (i) the intraday anatomy of level/slope/curvature around FOMC, CPI and Employment releases, (ii) the12intraday periodicity and realized (co)variation of the factors, (iii) HAR forecasts of factor realized variance.1314## Hard rules151. Never fabricate data, estimates, references, DOIs or p-values. Every number in the paper comes from code in `results/`.162. Pre-registration: `docs/DESIGN.md` §Hypotheses is frozen (git tag `design-frozen`) before any event-study or forecast17   result is inspected. Validation (§H1) is inspected first by construction.183. Data: FinData OS (FirstRate Data, private licence) is the only intraday source. No raw bars in git, logs, figures or paper19   (aggregates only). Key: `~/findata-secrets/api-key-wp47.txt` (node) / `~/Desktop/Cluster/secrets/findata/api-key-wp47.txt`20   (laptop) or `$FINDATA_API_KEY`; never logged.214. Public data (FRED CMT yields, Fed GSW parameters, FOMC/BLS/ALFRED calendars) are kept in `data/external/` with download22   timestamps (`DOWNLOADED_AT.txt`).235. Units: yields and factors in percentage points; futures returns in percent; realized variances in (pp)² per day.246. Remote-first for computation (M3U96a), laptop = LaTeX + mirror. `rsync` code to the node, results back.257. No external publication (SSRN, web) without explicit authorization. Private `gitsrv` mirror is routine.2627## Layout28`src/wp47/` (library) · `scripts/NN_*.py` (pipeline, in order) · `data/external/` (public inputs) · `data/cache/` (node only,29Parquet, gitignored) · `results/{metrics,tables,figures}` · `paper/` (LaTeX, template Recherche-UQO) · `docs/`30