Dominic O'Kane
Dominic O'Kane
Implement swaption pricing using Longstaff-Schwartz approach.
Add perpetual bond type and associated yield and risk measures.
Add inflation linked bond type and associated real and inflation linked yield measures. Test against BBG.
The Derivatives Hedging notebook in Chapter 9 does not work with the latest version of TensorFlow (Keras).
In Chapter 2 Notebook 7_poliucy_gradients When I increase the number of episodes to 1000 the reward never increases from -199.0