Thank you Alexandre ! . Glad to know the article was helpful.

Yes yield curve analysis is possible via neural networks too. I am not sure if a ready code for the same is available though.

I think a way ahead for building a code using neural networks could be: to use a multilayer perceptron model whereby the objective function would be to fit the equation for forward rates mentioned in this article. Once forward rates are calculated, computing spot rates will be easy.



Founder: FinQuest Institute | Ekspert Consulting;;

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