interest rate

  1. Mitor

    Bliss term structure program

    Hello 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. Thank you
  2. V

    Book Suggestion for Interest Rates

    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.
  3. Mitor

    Kalman Filter parameter estimation

    Hello All Does anyone has a paper/code of implementation of Kalman Filter for any two factor interest rate model? thanks
  4. Mitor

    estimation of parameters two factor CIR

    Hello 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=...