3 ms·
Why? Is this unusable naive or why would they build it? Excuse me for my lack of knowledge, far from my field.
by ParanoidShroom 6y ago
Why? 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...