Augment interest rate part by DPS2000
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Deleted user commented
Hi there, very nice idea! Congrats!
You might consider augmenting the short-rate section by a very concise description of the duffie/pan/singleton paper, which contains your rate modeling as a special case.
All you'd have to add would be the characteristic function of an AJD and update your formulas on page two...
I'd be happy to give you any feedback if wanted!
K
daleroberts commented
Cool, I will have a look at the paper. Though I'd be happy to accept a pull request if you want to type it up yourself and contribute.