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.
[ Parent
| on HN ]
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...