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Category Archives: Interest Rate Modelling

CIR - Projected rates

CIR Interest Rate Model – Appropriate Time Step

What is the appropriate time step to use in estimating parameters for, and projecting short rates using, the CIR model? Can estimates based on daily time series data be used in an interest rate model that projects short rates at a monthly time interval? The

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

The Black Derman Toy (BDT) model is a one-factor, no-arbitrage interest rate model. One-factor in that the entire term structure of interest rates can be inferred with reference to the process underlying the short rates derived. No-arbitrage in that the term structure derived is exactly

CoxIngersollRoss-CIR

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

CIR Model – Parameter Calibration and short rate simulation The Cox-Ingersoll-Ross (CIR model) interest rate model is a one-factor, equilibrium interest rate model. One factor in that it models the short – term interest rate and equilibrium in that it uses assumptions about various economic

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Interest Rate Modelling Posts Index

INTEREST RATE MODELLING Interest Rate Modelling: Introduction Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Introduction Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Estimating Parameters & Calibrating the CIR Model Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Simulating the term