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A comment on Swap Curve Fitting.

Re:Swap Curve Fitting by andyxor on Monday March 15, 2021 @03:07AM (#26463253)
as a former rates quant, this is cute
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Re:Swap Curve Fitting by ParanoidShroom on Monday March 15, 2021 @06:33AM (#26464309)
Why? Is this unusable naive or why would they build it? Excuse me for my lack of knowledge, far from my field.
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Re:Swap Curve Fitting by twic on Monday March 15, 2021 @08:08AM (#26464986)
As 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...

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