Skip to content

Commit 3ece88a

Browse files
updated link
1 parent bb3a933 commit 3ece88a

File tree

1 file changed

+1
-1
lines changed

1 file changed

+1
-1
lines changed

bisection_alpha/README.md

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -6,7 +6,7 @@
66

77
This repository has an implementation for a simple bisection method that finds the optimal parameter α for the Smith & Wilson algorithm often used in insurance to interpolate/extrapolate rates or yields.
88

9-
The implementation is based on [Technical documentation of the Methodology to derive EIOPA's risk-free interest rate term structure](https://www.eiopa.europa.eu/sites/default/files/risk_free_interest_rate/12092019-technical_documentation.pdf) and [Wiki on Bisection method](https://en.wikipedia.org/wiki/Bisection_method)
9+
The implementation is based on [Technical documentation of the Methodology to derive EIOPA's risk-free interest rate term structure](https://www.eiopa.europa.eu/document/download/df541a50-a9e7-458b-86ae-6ad16c2d6a29_en?filename=16-09-2022%20Technical%20documentation) and [Wiki on Bisection method](https://en.wikipedia.org/wiki/Bisection_method)
1010

1111
## Problem
1212
Before using the Smith & Wilson algorithm, the user needs to provide the convergence speed parameter α. This parameter needs to be calibrated primarily so that that the extrapolated result matches the desired long-term behaviour.

0 commit comments

Comments
 (0)