Financial Quantitative Algorithms
Here are analyzed some of the One factor Interest rate derivatives on Zero Coupon Bonds, using the Monte Carlo technique. You will be able to analyze the Price of the Zero Coupon Bond as a function of maturity, the short term interest rate as a function of time and the price of european call and puts written on the Bond.
MC on Interest Rate Derivatives (One factor Models) for Zero Coupon Bonds
| Analytic expression | Vasicek on European Call and Put | MC Bond Pricer |
| Monte Carlo method | Vasicek on European Call and Put | MC Bond Pricer |
| Monte Carlo method | Cox Ingersoll Ross on European Call and Put | MC Bond Pricer |
| Monte Carlo method | Rendleman Barter on European Call and Put | MC Bond Pricer |
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