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Monthly Archives: November 2010

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Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct State Price Lattices

In this post we continue with the definition of the calculation cells of the Black-Derman-Toy (BDT) model in EXCEL. Three state prices lattices are constructed. Define Calculation Cells b. Construct State Price Lattices The BDT model assumes that the short-term interest rates are log-normally distributed

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Interest Rate Models. An introductions

Interest Rate Models. In the introduction to this course we will cover interest rate models, features of a good practical model,  importance of calibrating a model and the criteria for model selection. We also briefly look at the features of equilibrium and no-arbitrage models and