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open-source-modelling authored Apr 1, 2024
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[Nel Si Svansson]: https://github.com/open-source-modelling/insurance_matlab/tree/main/nelson_siegel_svansson
[BIS whitepaper]: https://www.bis.org/publ/bppdf/bispap25l.pdf

## Algorithms planned

| Algorithm | Source | Description |
| ---------------------- | ----------------------------------- | --------------------------------------------------------------------- |
| G2++ with piece con. vo| TBD | Calibration of a G2++ model with piecewise constant volatility |
| Two factor Vasicek | TBD | Two factor Vasicek model for interest rate modelling |
| Carter-Lee model | TBD | Simple stochastic mortality model |

<b> New suggestions for algorithms are welcome. </b>

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