transitionMatrix 0.5.1

Functionality

You can use transitionMatrix to:

• Estimate transition matrices from historical event data using a variety of estimators

• Characterise transition matrices (identify their key properties)

• Visualize event data and transition matrices

• Manipulate transition matrices (derive generators, perform comparisons, stress transition rates etc.)

• Access standardized Datasets for testing

• Extract and work with credit default curves (absorbing states)

• Map credit ratings using mapping tables

• More (still to be documented :-)

Architecture

• transitionMatrix provides intuitive objects for handling transition matrices individually and as sets (based on numpy arrays)

• supports file input/output in json and csv formats

• it has a powerful API for handling event data (based on pandas and numpy)

• supports visualization using matplotlib

Dependencies

• TransitionMatrix requires Python 3 (currently 3.7)

• It depends on numerical and data processing Python libraries (Numpy, Scipy, Pandas).

• The Visualization API depends on Matplotlib.

• The precise dependencies are listed in the requirements.txt file.

• TransitionMatrix may work with earlier versions of python / these packages but it is not tested.

From PyPI

pip3 install transitionMatrix

From sources

Download the sources in your preferred directory:

git clone https://github.com/open-risk/transitionMatrix

Using virtualenv

It is advisable to install the package in a virtualenv so as not to interfere with your system’s python distribution

virtualenv -p python3 tm_test
source tm_test/bin/activate

If you do not have pandas already installed make sure you install it first (this will also install numpy and other required dependencies).

pip3 install -r requirements.txt

Finally issue the install command and you are ready to go!

python3 setup.py install

File structure

The distribution has the following structure:

| transitionMatrix/     Directory with the library source code
| -- model.py           File with main data structures
| -- estimators/        Directory with the estimator methods
| -- statespaces/       Directory with state space objects and methods
| -- creditratings/     Directory with predefined credit rating structures
| -- generators/        Directory with data generator methods
| -- utils/             Directory with helper classes and methods
| -- examples/          Directory with usage examples
| ---- python/          Examples as standalone python scripts
| ---- notebooks/       Examples as jupyter notebooks
| -- datasets/          Directory with a variety of datasets useful for getting started
| -- tests/             Directory with the testing suite

Other similar open source software

• etm, an R package for estimating empirical transition matrices

• msSurv, an R Package for Nonparametric Estimation of Multistate Models

• msm, Multi-state modelling with R

• mstate, competing risks and multistate models in R

• lifelines, python survival package