Implement a one-factor model called Kalotay-Williams-Fabozzi, discretizing it using a Binomial Tree. The model uses a single stochastic factor – the short rate – to determine the future evolution of all interest rates. This assignment was done as part of the Master in Quantitative Finance course, at the FGV University. You can check our report here (the text is in Portuguese). We will use mostly Python to code the project.
This project requires Python 2.7 and the following Python libraries installed:
- A. J. Kalotay, G. O. Williams, F. J. Fabozzi. A Model For Value Bonds and Embedded Options. Financial Analystis Journal, 1993. link
- G. W. Buetow Jr., B. Hanke, F. J. Fabozzi. Impact of Different Interest Rate Models on Bond Value Measures. The Journal Of Fixed Income, 2001. link
The contents of this repository are covered under the MIT License.