Fairmat repository1.9
Version date19.04.2013
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CIR model

License: Free
Author: Fairmat srl

The Cox-Ingersoll-Ross model is a simple mean reverting short rate model with the feature to generate only positive rate. This plug-in allows you to simulate and calibrate the model on cap prices.

Tags: stochastic process, calibration, short rate, interest rates
Downloads: 844