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What is Binomial Lattice for Term Structure Models about?

This document describes an implementation of one-factor term structure models using a binomial lattice. The models implemented include Black-Karasinski, Cox-Ingersoll-Ross, and Brennan-Schwartz models. The program takes parameters of interest rates and an initial yield curve as input and produces either a binomial lattice for interest rates and transition probabilities, or random interest rate paths consistent with the initial yield curve. The binomial lattice can be used to value interest rate-dependent co

Author

Julius Taehoon Kim

Language

EN