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Practical Machine Learning Cookbook

You're reading from   Practical Machine Learning Cookbook Supervised and unsupervised machine learning simplified

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Product type Paperback
Published in Apr 2017
Publisher Packt
ISBN-13 9781785280511
Length 570 pages
Edition 1st Edition
Languages
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Author (1):
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Atul Tripathi Atul Tripathi
Author Profile Icon Atul Tripathi
Atul Tripathi
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Toc

Table of Contents (15) Chapters Close

Preface 1. Introduction to Machine Learning FREE CHAPTER 2. Classification 3. Clustering 4. Model Selection and Regularization 5. Nonlinearity 6. Supervised Learning 7. Unsupervised Learning 8. Reinforcement Learning 9. Structured Prediction 10. Neural Networks 11. Deep Learning 12. Case Study - Exploring World Bank Data 13. Case Study - Pricing Reinsurance Contracts 14. Case Study - Forecast of Electricity Consumption

Monte Carlo simulations - calibrated Hull and White short-rates

Monte Carlo simulation is a stochastic simulation of system behavior. The simulation uses sampling experiments to be performed on the model and it then conducts numerical experiments using the computer to obtain a statistical understanding of the system behavior.

Getting ready

In order to perform Monte Carlo simulations for calibrated hull and white short-rates, data is taken from sample code that has been shipped with QuantLib 0.3.10, market data used to construct the term structure of interest rates and swaption volatility matrix with corresponding maturities and tenors.

Step 1 - installing the packages and libraries

Load the following packages:

    >install.packages("RQuantLib", type="binary")
    >install.packages("ESGtoolkit")
    >library(RQuantLib)
    >library(ESGtoolkit)

Note

Version info: Code for this page was tested in R version 3.2.2 (2015...

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