Model-agnostic Machine Learning discount curve calibration, interpolation and extrapolation
Project description
Yield Curve with Machine Learning
0 - Install:
From PyPI
!pip install yieldcurveml
From GitHub
!pip install git+https://github.com/Techtonique/yieldcurve.git
1. Examples:
See examples
2. References
- https://www.researchgate.net/publication/393794192_New_Short_Rate_Models_and_their_Arbitrage-Free_Extension_A_Flexible_Framework_for_Historical_and_Market-Consistent_Simulation
- https://www.researchgate.net/publication/392507059_Beyond_Nelson-Siegel_and_splines_A_model-_agnostic_Machine_Learning_framework_for_discount_curve_calibration_interpolation_and_extrapolation
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