# Tag Archives: Interest Rate Models

## BDT interest rate model – Limitations with EXCEL’s Solver Functionality and Workaround

A key element in the construction of the Black Derman Toy interest rate model is the setting up and running of EXCEL’s Solver function. The Solver functionality links various parts of the model together, the inputs- initial zero curve rates and their volatilities, the calculation

## The ICAAP (Internal Capital Adequacy), Stress Testing and Credit Risk Road Map

The ICAAP (Internal Capital Adequacy Assessment) Roadmap post reviews the core topics in a crash course format for Internal Capital Adequacy Assessment.

## 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