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Swap Curve Fitting

by thrower on 3/14/21, 12:14 PM with 10 comments

• by fny on 3/15/21, 11:35 AM

  For some additional background. This is a demo from the quant finance tensorflow package:

  https://github.com/google/tf-quant-finance

  Performance seems impressive relative to other FOSS. I use quantlib for mostly for hobby projects, would love to hear peoples thoughts if they've played with this.

• by astrange on 3/15/21, 10:49 AM

  I thought this was a Google paper since the domain shows up as "research.google.com", but it's actually a random Colab notebook.

• by andyxor on 3/15/21, 7:07 AM

  as a former rates quant, this is cute

• by wrnr on 3/15/21, 6:42 AM

  What are you trying to say?