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How to Construct a Black Derman Toy TOC

How to Construct a Black Derman Toy TOC

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The Black-Derman-Toy term structure model was developed by Fischer Black, Emmanuel Derman and William Toy in 1990. It is an example of a No-Arbitrage model. It assumes that all security prices and rates depend on only one single factor- the short rate.

This course presents a step-by-step methodology write-up of how to build a one factor interest rate model in EXCEL.

Topics covered:

An overview of the basic features of a Black-Derman-Toy (BDT) one factor interest rate model as well as some of the simplifying assumptions made in its construction.
A step-by-step guide demonstrating how the Black-Derman-Toy (BDT) one factor interest rate model may be built in EXCEL. This includes:
Defining the input cells (including the initial zero yield curve & volatility term structures)
Defining the calculation cells (including the state price lattices, short rate tree, prices, yields and yield volatilities)
Defining the output cells (including mediate rates and volatilities)
Linking all the pieces together with the Solver Function of the EXCEL worksheet
Running the Solver Function to get the results, i.e. median rates and their time varying volatilities (sigmas)

http://fourquants.com/elearning/store-2/#ecwid:mode=product&product=8447988
The Black-Derman-Toy term structure model was developed by Fischer Black, Emmanuel Derman and William Toy in 1990. It is an example of a No-Arbitrage model. It assumes that all security prices and rates depend on only one single factor- the short rate.

This course presents a step-by-step methodology write-up of how to build a one factor interest rate model in EXCEL.

Topics covered:

An overview of the basic features of a Black-Derman-Toy (BDT) one factor interest rate model as well as some of the simplifying assumptions made in its construction.
A step-by-step guide demonstrating how the Black-Derman-Toy (BDT) one factor interest rate model may be built in EXCEL. This includes:
Defining the input cells (including the initial zero yield curve & volatility term structures)
Defining the calculation cells (including the state price lattices, short rate tree, prices, yields and yield volatilities)
Defining the output cells (including mediate rates and volatilities)
Linking all the pieces together with the Solver Function of the EXCEL worksheet
Running the Solver Function to get the results, i.e. median rates and their time varying volatilities (sigmas)

http://fourquants.com/elearning/store-2/#ecwid:mode=product&product=8447988

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05/08/2015

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