Fairmat repository1.9
Version date03.12.2014
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Dai-Singleton interest rate model

License: Free
Author: Fairmat srl

A flexible and sophisticated model for the short rate. The plug-in implements Dai-Singleton affine term structure model with 1,2,3 factors and also its extension known as essentially affine model.The model can be also used to deal with inflation indexed option. Two different calibration procedure are provided within the plug-in.

Tags: stochastic process, calibration, short rate, interest rates, inflation
Downloads: 991