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40 views

How inplement monte carlo simulation in bdt model ? (interest rate)

I want to implement monte carlo method in Black–Derman–Toy model to preview short interest rates. $$d\ln r_t=(\theta_t+\frac{\sigma'_t}{\sigma_t}\ln r_t)dt+\sigma_tdW_t$$ Someone can explain what ...
84 views

Cox-Ingersoll-Ross

I am looking at a displaced CIR model and try to calibrate it to market data. I think my results looks reasonable but would like to sense-check with other studies. Does anyone know what "reasonable" ...
63 views

Extensions of CIR

I could need some advice on extensions of the CIR model. The standard CIR reads $dr(t)=\kappa(\theta-r(t))dt + \sigma \sqrt{r(t)} dW(t)$. A possible extension, if we would like the short-rate to ...
72 views

99 views

Zero Coupon Bond Forward Price

I'm currently working on the Coursera Financial Engineering and Risk Management course. In one of the questions I was asked to build a binomial pricing model for fixed-income securities. Specifically ...
101 views

Callable bond price sensitivity to Hull-White volatility changes

I'm using classic Hull-White model for short term interest rate dynamic: $$dr(t)=[\theta(t)-\alpha(t)r(t)]dt+\sigma(t)dW(t)$$ (Notation is quite intuitive, anyway I am using the same as Wikipedia ...
94 views

CallableFloatingRateBond in QuantLib: just a matter of multiple inheritance?

I would like to know what are the issues related to a possible CallableFloatingRateBond class in QuantLib and to have some hints on implementation. My (very ...
59 views

calibration of Gaussian two factor short rate model

I am trying to calibrate the gaussian two factor short rate model whose dynamics is given by r(t)=x(t)+y(t)+phi(t) Now to calibrate the model to term structure ...
342 views

Basic LIBOR curve question

I'm new to the quant finance and have a very basic question about LIBOR curve. LIBOR is published every day for 4 different tenors (1M, 3M, 6M, 1Y), and each rate means how much annual interest ...
72 views

164 views

Solving the Jamshidian Zhu (1997) PCA short rate model

This is my first time posting a question. I have very limited experience in the field of stochastic calculus and interest rate modelling. I have been tasked with implementing the short rate model ...