Blog
Comments Off on Using US Treasuries to calibrate the Black Derman Toy (BDT) Model

Using US Treasuries to calibrate the Black Derman Toy (BDT) Model

The Black Derman Toy (BDT) model is a one-factor, no-arbitrage interest rate model. One-factor in that the entire term structure of interest rates can be inferred with reference to the process underlying the short rates derived. No-arbitrage in that the term structure derived is exactly consistent with the current term structure- the zero curve yield […]

Comments are closed.

Random Testimonial

  • ~ Student Testimonials

    "Concise, to the point. Very informative and very practical.”

     

    “I loved the course!! Very interesting. Good lectures.”

     

    “Excellent, very informative and inspiring.”

     

    “In total awe of the way he taught…”

     

    “Well versed with the subject and able to transmit the subject properly.”

     

    “Excellent. If the time could be extended this would be an even better learning experience.”

     

    Excellent teaching skills. The instructor made every effort to explain most complicated finance concepts in simplest possible ways."

  • Read more testimonials »