Longstaff-Schwartz Interest Rate Model (1992)

White Noise

New Member
Hello guys,

I am actually working on a yield curve for the Longstaff-Schwartz multi factor rate model (1992) and have some problems with it. Have anybody here worked on it and could share with some implementation of that problem ? Or give any advices how to estimate parameters for example ? I would be very grateful for any help.
 
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Daniel Duffy

C++ author, trainer
The best way is to code the algorithm up yourself.

BTW what kind of problem? Does that mean you have coded it in some way?
 

White Noise

New Member
Ok, so maybe I will explain a bit more my actual situation. I am a student of Financial Mathematics and now I started some work involved with interest rate modelling on my own (not as a project on studies on something like that). As I am quite new in the area of interest rates so I started from the one-factor CIR model. I found very interesting article about "simple discretization" of this model and that was a breaking point for me which gave me an idea to use Least Square Estimation in order to calibrate parameters of the CIR model and then I simulated short and long rates. So my goal was reached. But when it goes about Longstaff model i don't have any idea how to approach this issue. I need some concept because here we have a system of two equations so i don't have any idea how to calibrate parameters of them. Any kind of clues or maybe some materials or codes connected with this problem would be very helpful. I need something to push me forward.
 
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