QuantFinanceToGoPricing

Short-Rate Models

The Vasicek and CIR models, bond prices in closed form, an extension of the model that fits today’s curve, and a rate tree, with a section on caps, floors and the idea of a swaption.

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How this module runs

  1. 01 · IntroductionWhat it is and why it matters
  2. 02 · Key PointsThe most important points
  3. 03 · The Math + PythonFormula, step by step, code
  4. 04 · Real WorldWhere it is used, best practice, common mistakes
  5. 05 · QuestionsExercises and interview
  6. Mini projectOne small program
Mini projectVasicek bond prices by Monte Carlo against the formulaOne small program on the topic, to run and to extend step by step.

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Back to the course outlineSee the free e-book