Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Create calibration routines for Term Structure models #3

Open
felipenoris opened this issue Sep 22, 2015 · 0 comments
Open

Create calibration routines for Term Structure models #3

felipenoris opened this issue Sep 22, 2015 · 0 comments
Labels
enhancement

Comments

@felipenoris
Copy link
Owner

IRCurve constructor for Term Structure models (currently Svensson and NelsonSiegel) could apply an optimization routine to calibrate parameters on a given set of yield points. The original data could be stored on IRCurve.dict, or we could create a separate vector for yields and parameters.
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Assignees
No one assigned
Labels
enhancement
Projects
None yet
Milestone
No milestone
Development

No branches or pull requests
1 participant
@felipenoris