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Fast curve building with linear solving method

Posted 8 years ago
POSTED BY: Igor Hlivka
4 Replies

Igor

Thanks again for an interesting post. You may be interested that Will Shaw did something similar in evaluating zero coupon and yield curves in his book "Modeling Financial Derivatives with Mathematica". Is it possible that you could also supply the notebook behind this post

Thank you Michael

POSTED BY: Michael Kelly

Thank you, Michael. I was not aware of the fact Will presented the same concept in his book..... I was working on this matrix idea recently and thought it might be of interest to the entire community. Mathematica is well suited for this task.

I will have to build the notebook separately as I typed the idea straight into the editor. Best Igor

POSTED BY: Igor Hlivka

enter image description here - Congratulations! This post is now a Staff Pick as distinguished by a badge on your profile! Thank you, keep it coming!

POSTED BY: EDITORIAL BOARD

Thank you. Will do my best! IH

POSTED BY: Igor Hlivka
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