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Assume b=0.05 b =0.05 is a constant for all i i in the BDT model as we assumed in the video lectures. Calibrate the a_i
Assume b=0.05 b =0.05 is a constant for all i i in the BDT model as we assumed in the video lectures. Calibrate the a_i ai ? parameters so that the model term-structure matches the market term-struc...
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