Interest Rate Modelling Archives | FinanceTrainingCourse.com

<img width="480" height="275" src="https://financetrainingcourse.com/education/wp-content/uploads/2012/06/CIR-Projected-rates-480x275.png" class="attachment-minimal-grid-medium-img size-minimal-grid-medium-img wp-post-image" alt="CIR - Projected rates" srcset="https://financetrainingcourse.com/education/wp-content/uploads/2012/06/CIR-Projected-rates-480x275.png 480w, https://financetrainingcourse.com/education/wp-content/uploads/2012/06/CIR-Projected-rates-240x138.png 240w, https://financetrainingcourse.com/education/wp-content/uploads/2012/06/CIR-Projected-rates-768x440.png 768w, https://financetrainingcourse.com/education/wp-content/uploads/2012/06/CIR-Projected-rates-250x143.png 250w, https://financetrainingcourse.com/education/wp-content/uploads/2012/06/CIR-Projected-rates-300x172.png 300w, https://financetrainingcourse.com/education/wp-content/uploads/2012/06/CIR-Projected-rates-600x344.png 600w, https://financetrainingcourse.com/education/wp-content/uploads/2012/06/CIR-Projected-rates.png 773w" sizes="(max-width: 480px) 100vw, 480px" title="Cox-Ingersoll-Ross. CIR model. Parameter calibration & simulation"/>

CIR - Projected rates

Asset Liability Management Bank Regulation Interest Rate Modelling

CIR Interest Rate Model – Appropriate Time Step

May 23, 2016June 13, 2016

2 mins read

What is the appropriate time step to use in estimating […]

Asset Liability Management Editors Choice Interest Rate Modelling

BDT Interest Rate Model – Limitations and Solutions in EXCEL

May 17, 2013April 24, 2019

3 mins read

Solver Functionality and Workaround A key element in the construction […]

Asset Liability Management Bank Regulation Editors Choice Interest Rate Modelling

Using US Treasuries to calibrate the Black Derman Toy (BDT) Model

May 16, 2013April 8, 2016

5 mins read

The Black Derman Toy (BDT) model is a one-factor, no-arbitrage […]

<img width="480" height="158" src="https://financetrainingcourse.com/education/wp-content/uploads/2012/09/092312_0805_PracticeTes5-480x158.png" class="attachment-minimal-grid-medium-img size-minimal-grid-medium-img wp-post-image" alt="ZeroCurvePracticeTest" srcset="https://financetrainingcourse.com/education/wp-content/uploads/2012/09/092312_0805_PracticeTes5-480x158.png 480w, https://financetrainingcourse.com/education/wp-content/uploads/2012/09/092312_0805_PracticeTes5-240x79.png 240w, https://financetrainingcourse.com/education/wp-content/uploads/2012/09/092312_0805_PracticeTes5-250x82.png 250w, https://financetrainingcourse.com/education/wp-content/uploads/2012/09/092312_0805_PracticeTes5-300x98.png 300w, https://financetrainingcourse.com/education/wp-content/uploads/2012/09/092312_0805_PracticeTes5.png 565w" sizes="(max-width: 480px) 100vw, 480px" title="Practice Test Exam Solution - Bootstrapping Forward Curve Case Study"/>

ZeroCurvePracticeTest

Business School Computational Finance Editors Choice EXCEL Examples Fixed Income Portfolio Interest Rate Modelling Interest Rate Swaps Middle Office and VaR

Practice Test Exam Solution – Bootstrapping Forward Curve Case Study

September 23, 2012June 3, 20192 Comments

6 mins read

Here is abbreviated partial solved solution to the practice exam […]

<img width="480" height="345" src="https://financetrainingcourse.com/education/wp-content/uploads/2012/06/cir7-480x345.png" class="attachment-minimal-grid-medium-img size-minimal-grid-medium-img wp-post-image" alt="CoxIngersollRoss-CIR" srcset="https://financetrainingcourse.com/education/wp-content/uploads/2012/06/cir7-480x345.png 480w, https://financetrainingcourse.com/education/wp-content/uploads/2012/06/cir7-240x172.png 240w, https://financetrainingcourse.com/education/wp-content/uploads/2012/06/cir7-768x551.png 768w, https://financetrainingcourse.com/education/wp-content/uploads/2012/06/cir7.png 1024w, https://financetrainingcourse.com/education/wp-content/uploads/2012/06/cir7-250x179.png 250w, https://financetrainingcourse.com/education/wp-content/uploads/2012/06/cir7-300x215.png 300w" sizes="(max-width: 480px) 100vw, 480px" title="Cox-Ingersoll-Ross. CIR model. Parameter calibration & simulation"/>

CoxIngersollRoss-CIR

Asset Liability Management Bank Regulation Editors Choice Interest Rate Modelling

Cox-Ingersoll-Ross. CIR model. Parameter calibration & simulation

June 26, 2012July 17, 20181 Comment

5 mins read

CIR Model – Parameter Calibration and short rate simulation The […]

Interest Rate Modelling

Addendum: How to conduct a Principal Component Analysis in EXCEL

June 12, 2012June 16, 2012

2 mins read

Addendum: How to conduct a Principal Component Analysis in EXCEL […]