# Tag Archives: Black Derman Toy

## 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

## 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

In this post we will consider how the Black-Derman-Toy (BDT) short rate binomial tree will be used to price options on bonds. Pricing Options The BDT model may also be used to price put or call options on bonds. For the purpose of calculating these

## 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

In this post we will consider how the Black-Derman-Toy (BDT) short rate binomial tree will be used to price bonds. Pricing Bonds For example, we illustrate the use of the short rates to price a hypothetical 3-year fixed income bond at issue as follows: Using

## 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

Earlier we had looked at how the Black-Derman-Toy (BDT) interest rate model may be constructed in EXCEL. In particular we saw how the median rates and time varying volatilities (sigmas) of the short rate binomial tree were derived. In this post we will see how

## Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define & Set Solver Function & Results

Earlier we had considered how to define the various elements (input, output and calculation cells) of the Black-Derman-Toy (BDT) interest rate model in EXCEL. In this post we will link all these pieces together by using the Solver Function of the EXCEL worksheet. Once this

## Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Yields & Yield volatility from Lattice

In this post we continue with the definition of the calculation cells of the Black-Derman-Toy (BDT) model in EXCEL by seeing how yields are determined from the prices calculated from the state price lattices. We use these determined yields to derive the yield volatility of