tf_quant_finance.models.hjm.CalibrationResult

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Last updated: 2023-03-16.

tf_quant_finance.models.hjm.CalibrationResult#

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Collection of calibrated QuasiGaussianHJM parameters.

tf_quant_finance.models.hjm.CalibrationResult(
    mean_reversion, volatility, corr_matrix
)

For a review of the HJM model and the conventions used, please see the docstring for QuasiGaussianHJM, or for calibration_from_swaptions below.

Attributes:#

  • mean_reversion: Rank-1 Tensor specifying the mean-reversion parameter.

  • volatility: Rank-1 Tensor specifying the volatility parameter.

  • corr_matrix: Rank-1 Tensor specifying the correlation matrix parameter.

Methods#

__eq__

__eq__(
    other
)

Method generated by attrs for class CalibrationResult.

__ge__

__ge__(
    other
)

Method generated by attrs for class CalibrationResult.

__gt__

__gt__(
    other
)

Method generated by attrs for class CalibrationResult.

__iter__

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__iter__()

__le__

__le__(
    other
)

Method generated by attrs for class CalibrationResult.

__len__

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__len__()

__lt__

__lt__(
    other
)

Method generated by attrs for class CalibrationResult.

__ne__

__ne__(
    other
)

Method generated by attrs for class CalibrationResult.

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