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Question1: Assumeb=0.05is a constant for alli in the BDT model as we assumed in the video lectures. Calibrate the ai parameters so that the model
Question1:
Assumeb=0.05is a constant for alli in the BDT model as we assumed in the video lectures. Calibrate the ai parameters so that the model term-structure matches the market term-structure. Be sure that the final error returned by Solver is at most10^{-8}.
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Question2:
Repeat the previous question but now assume a value ofb = 0.1.
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