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What is Yield Curve Calibration Techniques about?

This document discusses calibration of interest rate models. It begins by explaining that theoretical yield curves from models will not exactly match real-world market yield curves. Calibration aims to choose model parameters to make the theoretical curve match the market curve. The document then provides details on how to calibrate the Ho-Lee and extended Vasicek models. For the Ho-Lee model, the time-dependent drift parameter is chosen to satisfy an integral equation that equates theoretical and market

Author

Zohaib Siddique

Language

EN