Calibration of the Black-Derman-Toy model

Posted by Gary Pai

Generate the tree of interest rate

Input:
Yield of 1 year
Yield of 2 year
Yield of 3 year
volatility of 1 year yield
volatility of 2 year yield
volatility of 3 year yield
Output:
Tree of interest rate:

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

Keywords: Binomial tree, No arbitrage interest rate model

 •  April 13, 2013  • 

Methods Menu

Derivatives Markets

Image Gallery

pix pix pix pix pix pix

Why this website?

This website, QuantCalc, offers varied financial math calculators, calibration methods and arbitrage strategies. The reason why we develop QuantCalc is that we hope our ability of pricing, calibration and arbitraging can be seen by World. Please contact us if you want to see some specific method or strategy to be implemented on QuantCalc.

Contact

Please contact us if you have any suggestion.

garypai314@gmail.com


Copyright 2012-2024