Comments Off on BDT interest rate model – Limitations with EXCEL’s Solver Functionality and Workaround

A key element in the construction of the Black Derman Toy interest rate model is the setting up and running of EXCEL’s Solver function. The Solver functionality links various parts of the model together, the inputs- initial zero curve rates and their volatilities, the calculation cells – price lattices and short rate tree, and the […]

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