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Interest Rate Modelling Posts Index

by Jawwad Farid in Asset Liability Management

INTEREST RATE MODELLING
  1. Interest Rate Modelling: Introduction
  2. Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Introduction
  3. Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Estimating Parameters & Calibrating the CIR Model
  4. Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Simulating the term structure of interest rates
  5. Interest Rate Models: Black, Derman and Toy (BDT): Building BDT in Excel: Introduction
  6. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Input Cells
  7. Interest Rate Models: Building Black, Derman and Toy (BDT) in Excel: Define Output Cells
  8. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct short rate binomial tree
  9. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct State Price Lattices
  10. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Prices from Lattice
  11. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Yields & Yield volatility from Lattice
  12. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define & Set Solver Function & Results
  13. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: How to utilize the results of a BDT interest rate model: Derivation of Short Rates
  14. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: How to utilize the results of a BDT interest rate model: Pricing Bonds
  15. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: How to utilize the results of a BDT interest rate model: Pricing Options
  16. Interest Rate Modelling: HJM (Heath Jarrow Merton) Model: How to construct an Interest Rate Model in Excel – Define input cells
  17. Interest Rate Modelling: HJM (Heath Jarrow Merton) Model: How to construct an Interest Rate Model in Excel – Define calculation cells
  18. Interest Rate Modelling: HJM (Heath Jarrow Merton) Model: How to construct an Interest Rate Model in Excel – Determine Prices
  19. Interest Rate Modelling: Principal Component Analysis (PCA) : Overview
  20. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Data
  21. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Covariance Matrix
  22. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Eigenvectors
  23. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Diagonal Matrix
  24. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Solver Setup & Results
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