Tag Archives: Interest rate models

Started adding book codes from ‘Option Valuation under Stochastic Volatility II’

I have started adding book codes to this site. Almost all will be Mathematica notebooks (ending in .nb) , although there will be some C/C++. This may be a slow process since most files will require some clean-up before posting.

One file has been added so far: from Ch. 1: CIRJumpStart.nb, which was used to generate Fig. 1.6 in the book and below:

Fig. 1.6 CIR Bond Process with a Delayed Jump-start.
Fig. 1.6. CIR Bond Process with a Delayed Jump-start.

The figure shows a fit of the CIR bond process with a delayed jump-start (solid curve) to the US Treasury Zero Coupon yield curve (dashed curve), using Feb. 10, 2012 data. The delayed jump-start is/was a mechanism to model the end of the ZIRP (Zero Interest Rate Policy) regime. Details and related models are found in the book Chapter 1: “Slow Reflection, Jump-returns, and Short-term Interest Rates”.

The code file location is the Latest Book link (Just click on ‘Selected Codes’)

I will probably just work my way slowly through the book, but if you are a reader and particularly want to see certain book codes, please let me know by a comment or email. I will try to accommodate if possible.