Dejan Simic

Hi @blah-crusader, Thanks for sharing! For some reason I received an e-mail notification but I can't see your comment in this thread so here the reference:  I had a...

Nice! Thank you @blah-crusader for sharing your implementation, I'll try and give it a go in the package in the course of this week. Two questions I'd have: - `swap["maturity"]`...

For the convergence alpha: No haven't investigated before but did some research now. As you highlighted, [the documentation](https://www.eiopa.europa.eu/sites/default/files/eiopa-bos-21-475-technical-documentation.pdf) states that its iterative (p. 40). I couldn't find any analytical formula...

Thanks both of you! @blah-crusader That would be fantastic, could you send it to this e-mail address: [email protected]? Euro swaps for whatever date you've been using to verify your code...

Just merged the convergence factor estimation into `main` (#4) using the same scipy optimization function as you @DFallet, thanks again for sharing. Two differences: - I set the lower bound...

> P.s. simicd i forgot to send you swap data, are you still interested? @blah-crusader Yes, still interested!

> just saw the EIOPA upcoming S2 review, and apparently the extrapolation method is going more vacisek-style, seemingly a lot easier. Check from p14 https://www.eiopa.europa.eu/sites/default/files/solvency_ii/eiopa-bos-20-749-opinion-2020-review-solvency-ii.pdf . [...] what do you...