This repository contains C++ code implementations for various interest rate models. The models covered include:
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Vasicek Model
- Description: The Vasicek model captures the mean reversion property of interest rates based on the Ornstein–Uhlenbeck process.
- Code: vasicek_model.cpp
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Cox–Ingersoll–Ross (CIR) Model
- Description: The CIR model addresses the positivity problem encountered with the Vasicek model, introducing a nonconstant volatility.
- Code: cir_model.cpp
-
Constant Elasticity of Variance (CEV) Model
- Description: The CEV model accounts for nonconstant volatilities that can vary as a power of the underlying asset price.
- Code: cev_model.cpp
-
Hull-White (HW) Model
- Description: The Hull-White model is an extension of the Vasicek model, introducing time-dependent interest rate volatility.
- Code: hull_white_model.cpp
-
Ho and Lee (HoLee) Model
- Description: The Ho and Lee model is based on a deterministic function of time, extending the Merton model.
- Code: ho_lee_model.cpp
-
Chan–Karolyi–Longstaff–Sanders (CKLS) Model
- Description: The CKLS model is a parametrized interest rate model designed to account for nonconstant volatilities.
- Code: ckls_model.cpp
-
Heath–Jarrow–Morton (HJM) Model
- Description: The HJM model represents the instantaneous forward rate with a stochastic differential equation, allowing for a multi-factor term structure model.
- Code: hjm_model.cpp
Each model has its own C++ file in the repository. To use a specific model, you can refer to the corresponding C++ file and adjust the parameters as needed for your application.
- Clone the repository:
git clone https://github.com/AIM-IT4/interest-rate-models-cpp.git