(Calibration of the CIR model) Compute b( ) in the CIR model by differentiation of (7.73) on...
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(Calibration of the CIR model) Compute b′( ) in the CIR model by differentiation of (7.73) on page 177. Find out which types of initial forward rate curves the CIR model can be calibrated to, by computing (using a spreadsheet for example) the right-hand side of (9.30) for reasonable values of the parameters and the initial short rate. Vary the parameters and the short rate and discuss the effects.
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Fixed Income Analysis Securities Pricing And Risk Management
ISBN: 218144
1st Edition
Authors: Claus Munk
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