Interpolation of Missing Swaption Volatility Data using Variational Autoencoders

Daily (Bachelier model implied) swaption volatility cubes of European LIBOR swaptions

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Ivo Richert, Robert Buch (2024). Dataset: Interpolation of Missing Swaption Volatility Data using Variational Autoencoders. https://doi.org/10.57702/6n6g0pk8

DOI retrieved: December 3, 2024

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Created December 3, 2024
Last update December 3, 2024
Defined In https://doi.org/10.48550/arXiv.2204.10400
Author Ivo Richert
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Robert Buch
Homepage https://arxiv.org/abs/2204.02541