Pricing Bond by the Black-Derman-Toy model

Posted by Fred

Input:

Show inputs of interest rate model

Yield of 1 year
Yield of 2 year
Yield of 3 year
Yield of 4 year
Yield of 5 year
Volatility of 1st year yield
Volatility of 2nd year yield
Volatility of 3rd year yield
Volatility of 4th year yield
Volatility of 5th year yield
Face value of Bond
Coupon of Bond
Time to maturity of the bond
Output:
Price of Bond:

The Calibration follows Black, Derman and Toy's paper .

Keywords: Binomial tree, No arbitrage interest rate model, Bond calculator

 •  April 28, 2013  • 

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