/Interest-rate-stochastic-models-prediction-

Primary LanguagePython

Interest Rate Predictions using Monte Carlo Simulations

This project uses various interest rate stochastic models to simulate potential future paths for interest rates. The models used include Vasicek, Cox-Ingersoll-Ross (CIR), Hull-White, and an approximated version of Black-Derman-Toy (BDT).

Results:

  • Predicted Interest Rates at the end of Next Month:
    • Vasicek: 3.027% ± 0.313%
    • CIR: 3.056% ± 0.097%
    • Hull-White: 3.031% ± 0.298%
    • BDT (Approximated): 3.062% ± 0.265%

Interest Rate Simulations

Code:

The code for the simulations can be found in the code directory.

License:

MIT