Does anyone have the Bliss term structure program in order to create zero coupon bonds using the Fama-Bliss procedure? I would like to use it in order to construct zero coupon bonds for other countries besides USA.
Hi, can someone please suggest 1 or 2 good books for learning Interest Rate Derivatives, from Stochastic Differential process for IR curves to pricing exotic derivatives from a post 2008 Crisis standpoint. It will be great if there is something at a beginners - intermediate level.
I'm currently implementing two factor short rate models. I have implemented a one factor Cir choosing the short rate as the 3 month rate (for data reasons) and calibrating the model with the historical average of the yield and volatility using least squares. Since the two factor Cir (r=...