wegamekinglc / Derivatives-Algorithms-Lib / 29197244496

Build # 29197244496

Build Type

Pull #227

github

Committed by wegamekinglc

Commit Message

docs(curve): note zero-rate vs log-discount smoothing divergence

The calibration smoothing operator penalises curvature in the parameter
vector's native space, so ZERO_RATE (smoothing in z) and LOG_DISCOUNT
(smoothing in ell = -z*tau) select different smoothest curves from the
same instruments and smoothing weight. State this explicitly so the
parameterization choice is not mistaken for a re-expression of one curve.

Pull Request Pull Request #227: feat: implement zero-rate curve parameterization

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