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Swap Curve Fitting
- wrnr 6y agoWhat are you trying to say?
- bidirectional 6y agoI find your commment much harder to understand than the post. Are you an experienced quant who finds the work trivial, or an undergrad with no idea what a swap curve is? It's impossible to tell and thus impossible to answer your question.
- wrnr 6y agoNeither, this reads like a post to signal one's knowledge rather than one's intelligence. Do you want so see that finite state transducer I wrote in C?
- andyxor 6y agoas a former rates quant, this is cute
- ParanoidShroom 6y agoWhy? Is this unusable naive or why would they build it? Excuse me for my lack of knowledge, far from my field.
- twic 6y agoAs far as i can tell, their swap curve construction doesn't support dual curve discounting [1], which makes this a toy. There's no reason someone couldn't make this library industrial-strength, but is anyone going to? Is this supposed to be a supported product, or is this basically a tech demo to show what TensorFlow is capable of? [1] https://www.crd.com/insights-valuing-interest-rate-swaps-the-importance-of-dual-curve-stripping/ https://www.crd.com/insights-valuing-interest-rate-swaps-the...
- astrange 6y agoI thought this was a Google paper since the domain shows up as "research.google.com", but it's actually a random Colab notebook.
- twic 6y agoIt's a demo of a Google library: https://github.com/google/tf-quant-finance https://github.com/google/tf-quant-finance
- bidirectional 6y agoIt is a Google paper, further along in the URL one can see that it's under the offical Google github account.
- fny 6y agoFor some additional background. This is a demo from the quant finance tensorflow package: https://github.com/google/tf-quant-finance 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.