mdnahas / carry_trade_paper

Thesis for Masters of Arts in Economics

carry_trade_paper

This repository holds the code and text to generate my thesis for my Masters of Arts in Economic from the University of Texas at Austin.

The PDF is available on my personal website.

The repository is missing proprietary Bloomberg data. Please contact me at michael at nahas dot com to get the data.

To compile requires:

• Quantlib (finance library), version 1.9.2
  • Quantlib-SWIG (python interface to Quantlib), version 1.9
• R
  • lmtest library
  • sandwich library
  • multiwayvcov library
  • parallel library
• python version 2.7
  • matplotlib library
  • scipy library
  • numpy library
  • pandas library
• LaTeX (pdflatex)
  • graphicx package
  • hyperref package
  • epsfig package
  • others, used by UT style file
• make

NOTE: C# was used to download the data from Bloomberg, but is not necessary to compile the document.

To compile, run: "make"