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1{2 "gsw": {3 "label": "GSW 1-30y zero curve factors",4 "full": {5 "level": {6 "n": 3959,7 "r2_oos": 0.9547,8 "slope": 0.9936,9 "rmse_bp": 1.2110 },11 "slope": {12 "n": 3959,13 "r2_oos": 0.8286,14 "slope": 0.9935,15 "rmse_bp": 3.616 },17 "curvature": {18 "n": 3959,19 "r2_oos": 0.8639,20 "slope": 1.015,21 "rmse_bp": 7.9322 }23 },24 "2011_2015": {25 "level": {26 "n": 1240,27 "r2_oos": 0.9419,28 "slope": 0.9765,29 "rmse_bp": 1.5130 },31 "slope": {32 "n": 1240,33 "r2_oos": 0.8472,34 "slope": 0.9771,35 "rmse_bp": 3.9136 },37 "curvature": {38 "n": 1240,39 "r2_oos": 0.8056,40 "slope": 1.0162,41 "rmse_bp": 9.442 }43 },44 "2016_2019": {45 "level": {46 "n": 1010,47 "r2_oos": 0.9621,48 "slope": 0.9535,49 "rmse_bp": 0.8150 },51 "slope": {52 "n": 1010,53 "r2_oos": 0.7988,54 "slope": 0.8913,55 "rmse_bp": 2.7956 },57 "curvature": {58 "n": 1010,59 "r2_oos": 0.8879,60 "slope": 0.9601,61 "rmse_bp": 4.962 }63 },64 "2020_2021": {65 "level": {66 "n": 502,67 "r2_oos": 0.9591,68 "slope": 0.9819,69 "rmse_bp": 1.3170 },71 "slope": {72 "n": 502,73 "r2_oos": 0.8066,74 "slope": 1.0658,75 "rmse_bp": 3.6276 },77 "curvature": {78 "n": 502,79 "r2_oos": 0.773,80 "slope": 0.95,81 "rmse_bp": 8.9582 }83 },84 "2022_2026": {85 "level": {86 "n": 1207,87 "r2_oos": 0.9643,88 "slope": 1.0425,89 "rmse_bp": 1.1190 },91 "slope": {92 "n": 1207,93 "r2_oos": 0.8245,94 "slope": 1.0497,95 "rmse_bp": 3.8496 },97 "curvature": {98 "n": 1207,99 "r2_oos": 0.9141,100 "slope": 1.0445,101 "rmse_bp": 7.87102 }103 }104 },105 "cmt_1y_plus": {106 "label": "CMT factors from maturities >= 1y",107 "full": {108 "level": {109 "n": 3792,110 "r2_oos": 0.9522,111 "slope": 0.9926,112 "rmse_bp": 1.2113 },114 "slope": {115 "n": 3792,116 "r2_oos": 0.7433,117 "slope": 0.9975,118 "rmse_bp": 4.37119 },120 "curvature": {121 "n": 3792,122 "r2_oos": 0.7903,123 "slope": 0.9973,124 "rmse_bp": 8.73125 }126 },127 "2011_2015": {128 "level": {129 "n": 1188,130 "r2_oos": 0.9535,131 "slope": 0.9725,132 "rmse_bp": 1.29133 },134 "slope": {135 "n": 1188,136 "r2_oos": 0.8693,137 "slope": 0.9936,138 "rmse_bp": 3.36139 },140 "curvature": {141 "n": 1188,142 "r2_oos": 0.813,143 "slope": 1.0241,144 "rmse_bp": 7.66145 }146 },147 "2016_2019": {148 "level": {149 "n": 965,150 "r2_oos": 0.9447,151 "slope": 0.9631,152 "rmse_bp": 0.95153 },154 "slope": {155 "n": 965,156 "r2_oos": 0.669,157 "slope": 0.8884,158 "rmse_bp": 3.84159 },160 "curvature": {161 "n": 965,162 "r2_oos": 0.749,163 "slope": 0.9692,164 "rmse_bp": 7.1165 }166 },167 "2020_2021": {168 "level": {169 "n": 481,170 "r2_oos": 0.9389,171 "slope": 0.9828,172 "rmse_bp": 1.52173 },174 "slope": {175 "n": 481,176 "r2_oos": 0.7148,177 "slope": 1.0145,178 "rmse_bp": 4.25179 },180 "curvature": {181 "n": 481,182 "r2_oos": 0.6107,183 "slope": 0.8794,184 "rmse_bp": 10.43185 }186 },187 "2022_2026": {188 "level": {189 "n": 1158,190 "r2_oos": 0.9602,191 "slope": 1.0375,192 "rmse_bp": 1.14193 },194 "slope": {195 "n": 1158,196 "r2_oos": 0.6592,197 "slope": 1.0633,198 "rmse_bp": 5.59199 },200 "curvature": {201 "n": 1158,202 "r2_oos": 0.8253,203 "slope": 1.0153,204 "rmse_bp": 10.11205 }206 }207 },208 "cmt_with_sr3": {209 "label": "CMT factors, six roots + SR3 (from 2021)",210 "full": {211 "level": {212 "n": 1459,213 "r2_oos": 0.9481,214 "slope": 1.0318,215 "rmse_bp": 1.33216 },217 "slope": {218 "n": 1459,219 "r2_oos": 0.7581,220 "slope": 1.0181,221 "rmse_bp": 3.35222 },223 "curvature": {224 "n": 1459,225 "r2_oos": 0.7764,226 "slope": 1.0456,227 "rmse_bp": 10.24228 }229 },230 "2020_2021": {231 "level": {232 "n": 248,233 "r2_oos": 0.9501,234 "slope": 1.0069,235 "rmse_bp": 1.16236 },237 "slope": {238 "n": 248,239 "r2_oos": 0.9284,240 "slope": 0.9931,241 "rmse_bp": 1.46242 },243 "curvature": {244 "n": 248,245 "r2_oos": 0.7457,246 "slope": 0.9072,247 "rmse_bp": 5.09248 }249 },250 "2022_2026": {251 "level": {252 "n": 1211,253 "r2_oos": 0.9478,254 "slope": 1.036,255 "rmse_bp": 1.36256 },257 "slope": {258 "n": 1211,259 "r2_oos": 0.7371,260 "slope": 1.0224,261 "rmse_bp": 3.62262 },263 "curvature": {264 "n": 1211,265 "r2_oos": 0.7775,266 "slope": 1.0524,267 "rmse_bp": 11.0268 }269 }270 }271}