Excel Binomial Interest Rate Calibration Model

Published: 3 January 2018| Version 1 | DOI: 10.17632/y3fbhpmz83.1
Contributor:
Stafford Johnson

Description

The Excel program generates a binomial interest rate tree based on the Black-Derman-Toy Calibration Model. The user inputs up and down parameters, the probability of an increase in one period, and spot yield curve.

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