Browse By

Interest Rate

Interest rates or rather interest rate models are used to value interest sensitive instruments by not only determining the future stream of cash flows but also discounting this stream to determine present values and prices. There are a number of different types of interest rate models used: equilibrium models (e.g.Cox Ingersoll and Ross (CIR)) and no-arbitrage models (e.g. Black Derman Toy (BDT)) models, one-factor (e.g. Black Derman Toy (BDT)) and multifactor models (e.g. Heath-Jarrow-Merton (HJM)).

 

Free Courses

View More >>

Recent Posts

  1. CIR Interest Rate Model – Appropriate Time Step
  2. BDT interest rate model – Limitations with EXCEL’s Solver Functionality and Workaround
  3. Using US Treasuries to calibrate the Black Derman Toy (BDT) Model
  4. Practice Test Exam Solution – Bootstrapping Forward Curve Case Study
  5. Cox-Ingersoll-Ross. CIR model. Parameter calibration & simulation
  6. Addendum: How to conduct a Principal Component Analysis in EXCEL
  7. Finance Training Courses: ICAAP: Win a seat at the ICAAP Treasury Risk Workshop, Langkawi at your price!
  8. The ICAAP (Internal Capital Adequacy), Stress Testing and Credit Risk Road Map
  9. 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
  10. 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

View More >>