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Yield curve fitting with PiecewiseLogCubicDiscount, PiecewiseLinearZero, PiecewiseCubicZero, Nelson-Siegel, and Nelson-Siegel-Svensson using QuantLib

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jaakko-paavola/yield-curve-fitting-using-quantlib

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48c1777 · Mar 29, 2024

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Coursework in the course Financial Engineering II at Aalto University.

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Yield curve fitting with PiecewiseLogCubicDiscount, PiecewiseLinearZero, PiecewiseCubicZero, Nelson-Siegel, and Nelson-Siegel-Svensson using QuantLib

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