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Currently working on a validation and testing of a yield curve model (one factor short rate model). Have been reading Andersen and Piterbarg, and Mercurio and Brigo. Good for true understanding, but bad in terms of practicality. Veronesi is a bit more practical and doesnt go too much in the details, yet enough. Same with Hull but less focus on fixed income, more on equity. Any ideas of where can I read about actual practical testing of models?

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  • $\begingroup$ I would also be curious to know which book is considered more practical than Andresen & Piterbarg... $\endgroup$
    – piterbarg
    Mar 16, 2021 at 22:08
  • $\begingroup$ @piterbarg, you would consider Andersen and Piterbarg as practical? It's relatively theoretical no? It is 'practical' in the sense that it covers the theoretical frameworks which practitioneers need to have (and doesn't go beyond that, in the laborious technical details AS MUCH), but there is not much w.r.t. how would you tackle those problems in practice and implementation. $\endgroup$
    – deblue
    Mar 19, 2021 at 14:31
  • $\begingroup$ interesting to hear your views. The book does not include code, that' true, but we did try to write it very much like a blueprint for a robust, production quality implementation of various models, while trying to stay reasonably rigorous on the theory side. That's why, as I mentioned, I would be interested to hear what other books are considered more practical. Thank you! $\endgroup$
    – piterbarg
    Mar 19, 2021 at 17:39
  • $\begingroup$ @piterbarg, I am also curious:), it might very well be that it is in fact the most practical one out there. I work in model validation (not development), so testing and assessing models is more of my concern, so in this sense I found it lacking, but it's otherwise a very good read. $\endgroup$
    – deblue
    Mar 23, 2021 at 8:56

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