Swap Curve Fitting

#1

Post by thrower » Sun, Mar 14, 2021, 12:14 PM UTC

Swap Curve Fitting
colab.research.google.com

Re: Swap Curve Fitting

#2

Post by wrnr » Mon, Mar 15, 2021, 6:42 AM UTC

What are you trying to say?

Re: Swap Curve Fitting

#3

Post by andyxor » Mon, Mar 15, 2021, 7:07 AM UTC

as a former rates quant, this is cute

Re: Swap Curve Fitting

#4

Post by ParanoidShroom » Mon, Mar 15, 2021, 10:33 AM UTC

andyxor wrote: post #3

as a former rates quant, this is cute

Why? Is this unusable naive or why would they build it? Excuse me for my lack of knowledge, far from my field.

Re: Swap Curve Fitting

#5

Post by astrange » Mon, Mar 15, 2021, 10:49 AM UTC

I thought this was a Google paper since the domain shows up as "research.google.com", but it's actually a random Colab notebook.

Re: Swap Curve Fitting

#6

Post by fny » Mon, Mar 15, 2021, 11:35 AM UTC

For some additional background. This is a demo from the quant finance tensorflow package:

https://github.com/google/tf-quant-finance

Performance seems impressive relative to other FOSS. I use quantlib for mostly for hobby projects, would love to hear peoples thoughts if they've played with this.

Re: Swap Curve Fitting

#7

Post by twic » Mon, Mar 15, 2021, 11:53 AM UTC

astrange wrote: post #5

I thought this was a Google paper since the domain shows up as "research.google.com", but it's actually a random Colab notebook.

It's a demo of a Google library:

https://github.com/google/tf-quant-finance

Re: Swap Curve Fitting

#8

Post by twic » Mon, Mar 15, 2021, 12:08 PM UTC

ParanoidShroom wrote: post #4

andyxor wrote: post #3

as a former rates quant, this is cute

Why? Is this unusable naive or why would they build it? Excuse me for my lack of knowledge, far from my field.

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...

Re: Swap Curve Fitting

#9

Post by bidirectional » Mon, Mar 15, 2021, 12:55 PM UTC

wrnr wrote: post #2

What are you trying to say?

I find your commment much harder to understand than the post. Are you an experienced quant who finds the work trivial, or an undergrad with no idea what a swap curve is? It's impossible to tell and thus impossible to answer your question.

Re: Swap Curve Fitting

#10

Post by bidirectional » Mon, Mar 15, 2021, 12:56 PM UTC

astrange wrote: post #5

I thought this was a Google paper since the domain shows up as "research.google.com", but it's actually a random Colab notebook.

It is a Google paper, further along in the URL one can see that it's under the offical Google github account.