Thank you for this video. I have tried for years to understand this stuff. I had calc 3 and linear algebra in college and did ok in them. You have made this the best resource for numerical walk through. Much love!
Nice video sir, can you make a video in which we use this calibration to value a bond or an vanilla instrument? It would really help us to know how to apply these processes in practice.
Thanks a lot Max, very helpful is it. Could you please also recommend a book that goes over the short rate models and their implementations. One more request, could you do a video on implementing OAS nnodel for calculating OAS spreads of investment grade callable bonds.
Thanks a lot Max, the video helped me a lot! :) I just want to ask, is there please a different way, how to calibrate the model? Thank you! Have a great day.
@@statisticsandriskmodeling5477 Thank you for the reply, basically in school they want us to know different way of callibration for interest rate models such like Vasicek, CIR, Ho-Lee etc.
d means "derivative". For example, dr means derivative of interest rate. rt in column D mean relative interest rate comparing with the mean value b. So rt+b will be absolute interest rate. I divided rt+b in order to get residual in percentage terms.
Thank you for this video. I have tried for years to understand this stuff. I had calc 3 and linear algebra in college and did ok in them. You have made this the best resource for numerical walk through. Much love!
Very glad you like my video !
Awesome video!!
Nice video sir, can you make a video in which we use this calibration to value a bond or an vanilla instrument? It would really help us to know how to apply these processes in practice.
Thanks a lot Max, very helpful is it. Could you please also recommend a book that goes over the short rate models and their implementations. One more request, could you do a video on implementing OAS nnodel for calculating OAS spreads of investment grade callable bonds.
Thanks a lot Max, the video helped me a lot! :) I just want to ask, is there please a different way, how to calibrate the model? Thank you! Have a great day.
Can you tell me why you want to use another calibration method? What do you want to achieve?
@@statisticsandriskmodeling5477 Thank you for the reply, basically in school they want us to know different way of callibration for interest rate models such like Vasicek, CIR, Ho-Lee etc.
How do I get all the predicted values for the 1 year forecast. I need all the average values for each data point of the one year prediction
Nice vid, would you share your spreadsheet?
is there a normal formula to convert discrete vol to continuous vol?
What does d correspond to in the CIR equation? Is it sigma? Why do you divide by rt +b to get the residual?
d means "derivative". For example, dr means derivative of interest rate. rt in column D mean relative interest rate comparing with the mean value b. So rt+b will be absolute interest rate.
I divided rt+b in order to get residual in percentage terms.
@@statisticsandriskmodeling5477 what’s your email. I’d like to have a further conversation
why we need discrete drift to determine the "a"?
how to satisfy 2ab > sigma^2 ?