3 ms·
as a former rates quant, this is cute
by andyxor 6y ago
as 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...