Help with PCA for risk bucketing

[Franjey]

I was asked to apply PCA to

 

[longgamma]

PCA is a dimension reduction method. Do you have a regression problem so as to predict a variable based on independent factors?

Sorry but your question is a bit vague.

 

[Ken Abbott]

Use Bloomberg IRS data. This should be 3, 6, and 12m deposits and swaps out to 30 years. Reuters should have it too. I have assigned this problem many times.