├── .gitignore ├── LICENSE ├── README.md ├── data └── data.h5 ├── data_corr_mid_2014 ├── data.h5 ├── models_ir_swo_gbp_hull_white_analytic_formulae_adj_err_y.npy ├── models_ir_swo_gbp_hull_white_analytic_formulae_unadj_err_y.npy ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s100k_d20.h5 ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s100k_d20.json ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s100k_d20.p ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s150k_d15.h5 ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s150k_d15.json ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s150k_d15.p ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s150k_d20.h5 ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s150k_d20.json ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s150k_d20.p ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s50k_d20.h5 ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s50k_d20.json ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s50k_d20.p ├── swo_gbp_hull_white_analytic_formulae_nn_unadj_error_s100k_d20.h5 ├── swo_gbp_hull_white_analytic_formulae_nn_unadj_error_s100k_d20.json ├── swo_gbp_hull_white_analytic_formulae_nn_unadj_error_s100k_d20.p ├── swo_gbp_hull_white_analytic_formulae_nn_unadj_error_s150k_d20.h5 ├── swo_gbp_hull_white_analytic_formulae_nn_unadj_error_s150k_d20.json ├── swo_gbp_hull_white_analytic_formulae_nn_unadj_error_s150k_d20.p ├── swo_gbp_hull_white_analytic_formulae_nn_unadj_error_s50k_d20.h5 ├── swo_gbp_hull_white_analytic_formulae_nn_unadj_error_s50k_d20.json ├── swo_gbp_hull_white_analytic_formulae_nn_unadj_error_s50k_d20.p ├── temp ├── test_adj_error_s100k_d20_fnn_l4_e6_epoch200_dates.npy ├── test_adj_error_s100k_d20_fnn_l4_e6_epoch200_train_hist.npy ├── test_adj_error_s100k_d20_fnn_l4_e6_epoch200_val_hist.npy ├── test_adj_error_s100k_d20_fnn_l4_e6_epoch200_values.npy ├── test_adj_error_s150k_d15_fnn_l4_e6_epoch200_dates.npy ├── test_adj_error_s150k_d15_fnn_l4_e6_epoch200_train_hist.npy ├── test_adj_error_s150k_d15_fnn_l4_e6_epoch200_val_hist.npy ├── test_adj_error_s150k_d15_fnn_l4_e6_epoch200_values.npy ├── test_adj_error_s150k_d20_fnn_l4_e6_epoch200_dates.npy ├── test_adj_error_s150k_d20_fnn_l4_e6_epoch200_train_hist.npy ├── test_adj_error_s150k_d20_fnn_l4_e6_epoch200_val_hist.npy ├── test_adj_error_s150k_d20_fnn_l4_e6_epoch200_values.npy ├── test_adj_error_s50k_d20_fnn_l4_e6_epoch200_dates.npy ├── test_adj_error_s50k_d20_fnn_l4_e6_epoch200_train_hist.npy ├── test_adj_error_s50k_d20_fnn_l4_e6_epoch200_val_hist.npy ├── test_adj_error_s50k_d20_fnn_l4_e6_epoch200_values.npy ├── test_unadj_error_s100k_d20_fnn_l4_e6_epoch200_dates.npy ├── test_unadj_error_s100k_d20_fnn_l4_e6_epoch200_train_hist.npy ├── test_unadj_error_s100k_d20_fnn_l4_e6_epoch200_val_hist.npy ├── test_unadj_error_s100k_d20_fnn_l4_e6_epoch200_values.npy ├── test_unadj_error_s150k_d20_fnn_l4_e6_epoch200_dates.npy ├── test_unadj_error_s150k_d20_fnn_l4_e6_epoch200_train_hist.npy ├── test_unadj_error_s150k_d20_fnn_l4_e6_epoch200_val_hist.npy ├── test_unadj_error_s150k_d20_fnn_l4_e6_epoch200_values.npy ├── test_unadj_error_s50k_d20_fnn_l4_e6_epoch200_dates.npy ├── test_unadj_error_s50k_d20_fnn_l4_e6_epoch200_train_hist.npy ├── test_unadj_error_s50k_d20_fnn_l4_e6_epoch200_val_hist.npy └── test_unadj_error_s50k_d20_fnn_l4_e6_epoch200_values.npy ├── data_corr_mid_2015 ├── data.h5 ├── models_ir_swo_gbp_hull_white_analytic_formulae_y.npy ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s100k_d20.h5 ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s100k_d20.json ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s100k_d20.p ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s150k_d20.h5 ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s150k_d20.json ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s150k_d20.p ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s50k_d20.h5 ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s50k_d20.json ├── swo_gbp_hull_white_analytic_formulae_nn_adj_error_s50k_d20.p ├── test_adj_error_s100k_d20_fnn_l4_e6_epoch200_dates.npy ├── test_adj_error_s100k_d20_fnn_l4_e6_epoch200_train_hist.npy ├── test_adj_error_s100k_d20_fnn_l4_e6_epoch200_val_hist.npy ├── test_adj_error_s100k_d20_fnn_l4_e6_epoch200_values.npy ├── test_adj_error_s150k_d20_fnn_l4_e6_epoch200_dates.npy ├── test_adj_error_s150k_d20_fnn_l4_e6_epoch200_train_hist.npy ├── test_adj_error_s150k_d20_fnn_l4_e6_epoch200_val_hist.npy ├── test_adj_error_s150k_d20_fnn_l4_e6_epoch200_values.npy ├── test_adj_error_s50k_d20_fnn_l4_e6_epoch200_dates.npy ├── test_adj_error_s50k_d20_fnn_l4_e6_epoch200_train_hist.npy ├── test_adj_error_s50k_d20_fnn_l4_e6_epoch200_val_hist.npy └── test_adj_error_s50k_d20_fnn_l4_e6_epoch200_values.npy ├── presentation ├── Graphics │ ├── adj_error_insample40_s150k_d20_npv_error_fnn.eps │ ├── adj_error_insample40_s150k_d20_vola_error_fnn.eps │ ├── adj_error_insample73_s150k_d20_npv_error_fnn.eps │ ├── adj_error_insample73_s150k_d20_vola_error_fnn.eps │ ├── adj_error_s_cross_validation_fnn.eps │ ├── background.eps │ ├── cross_validation_fnn_unadj_vs_adj_error.eps │ ├── npv_error_fnn_unadj_vs_adj_error.eps │ ├── surface.eps │ └── vola_error_fnn_unadj_vs_adj_error.eps ├── calibration_with_nn-pdf.pdf └── calibration_with_nn.tex └── src ├── data_utils.py ├── instruments.py ├── neural_network.py ├── paper.py ├── swaption_test.py └── variational_autoencoder.py /.gitignore: -------------------------------------------------------------------------------- 1 | 2 | *.pyc 3 | -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Andres-Hernandez/CalibrationNN/HEAD/LICENSE -------------------------------------------------------------------------------- /README.md: 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