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Implementation of Arbitrage-free Discretization of Interest Rate Dynamics and Calibration via Swaptions and Caps in Excel VBA
Arbitrage-free Discretization of Interest Rate Dynamics 17 We can generate LIBOR using the following formula ... m To 7 term = 1 - (Cells(18 + i, 1 + m) / Cells(17 + i, 1 + m)) mx = WorksheetFunction.Max(0, term) ...- Authors: Ohoe Kim, Swathi D Gaddam
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Economics>Financial economics; Finance & Investments>Derivatives; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models