411 REFERENCE · Wikibooks
A Practical Guide to Interest Rate Derivative Modelling/Curve Calibration
Reference material by Wikibooks contributors. This retains its source identity and is not 411 news reporting.
(WIP)
In the previous chapters we have assumed the interest rate term structure to be given by a black-box which fits all market traded instruments. In this chapter we consider how the black-box works.
parametric Interpolation
non-parametric optimization
reference to books and open source libraries
can we go p-quant?