Bootstrapping yield curve excel vba

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In financea lattice model [1] is a technique applied to the valuation of derivativeswhere a discrete time model is required. For equity optionsa typical example would be pricing an American optionwhere a decision as to option exercise is required at "all" times any time before and including maturity.

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A continuous model, on the other hand, such as Black—Scholeswould only allow for the valuation of European optionswhere exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par.

In general the approach is to divide time between now and the option's expiration into N discrete periods. The outcomes and probabilities flow backwards through the tree until a fair value of the option today is calculated. For equity and commodities the application is as follows. The first step is to trace the evolution of the option's key underlying variable sstarting with today's spot pricesuch that this process is consistent with its volatility; log-normal Brownian motion with constant volatility is usually assumed.

For similar reasons, real options and employee stock options are often modeled using a lattice framework, though with modified assumptions. In each of these cases, a third step is to determine whether the option is to be exercised or held, and to then apply this value at the node in question. Some exotic optionssuch as barrier optionsare also easily modeled here; for other Path-Dependent Optionssimulation would be preferred. Although, tree-based methods have been developed. The simplest lattice model is the binomial options pricing model ; [7] the standard "canonical" [8] method is that proposed by CoxRoss and Rubinstein CRR in ; see diagram for formulae.

Over 20 other methods have been developed, [9] with each "derived under a variety of assumptions" as regards the development of the underlying's price. Further enhancements are designed to achieve stability relative to Black-Scholes as the number of time-steps changes. More recent models, in fact, are designed around direct convergence to Black-Scholes.

A variant on the Binomial, is the Trinomial tree[10] [11] developed by Phelim Boyle in Here, the share price may remain unchanged over the time-step, and option valuation is then based on the value of the share at the up- down- and middle-nodes in the later time-step.

As for the binomial, a similar although smaller range of methods exist. The trinomial model is considered [12] to produce more accurate results than the binomial model when fewer time steps are modelled, and is therefore used when computational speed or resources may be an issue.

For vanilla optionsas the number of steps increases, the results rapidly converge, and the binomial model is then preferred due to its simpler implementation. For exotic options the trinomial model or adaptations is sometimes more stable and accurate, regardless of step-size. Various of the Greeks can be estimated directly on the lattice, where the sensitivities are calculated using finite differences.

Thetasensitivity to time, is likewise estimated given the option price at the first node in the tree and the option price for the same spot in a later time step.

Second time step for trinomial, third for binomial. Depending on method, if the "down factor" is not the inverse of the "up factor", this method will not be precise. For rhosensitivity to interest rates, and vegasensitivity to input volatility, the measurement is indirect, as the value must be calculated a second time on a new lattice built with these inputs slightly altered - and the sensitivity here is likewise returned via finite difference.

See also Fugit - the estimated time to exercise - which is typically calculated using a lattice. When it is important to incorporate the volatility smileor surfaceimplied trees can be constructed.

Here, the tree is solved such that it successfully reproduces selected all market prices, across various strikes and expirations. These trees thus "ensure that all European standard options with strikes and maturities coinciding with the tree nodes will have theoretical values which match their market prices". The former is easier built, but is consistent with one maturity only; the latter will be consistent with, but at the same time requires, known or interpolated prices at all time-steps and nodes.

DKC is effectively a discretized local volatility model. Then by the assumption that all paths which lead to the same ending node have the same risk-neutral probability, a "path probability" is attached to each ending node. Thereafter "it's as simple as One-Two-Three", and a three step backwards recursion allows for the node probabilities to be recovered for each time step.

Option valuation then proceeds as standard, with these substituted for p.I am trying to debug a Java application that is relying on Reflection. Right now the error I get is the following:. The error message is a bit misleading and I am not sure why it is mentioning a set operation whereas I am trying to preform a get. I am suspecting that the runtimeInstance is not an object of the expected class. But that error message is throwing me away.

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What can we do with this package that makes it so attractive for modeling efforts?

bootstrapping yield curve excel vba

Discussion 2 Chapter 9 : What are the common business problems addressed by Big Data analytics? In the era of Big Data, are we about to witness the end of data warehousing? What is the difference between an optimistic approach and a pessimistic approach to decision making under assumed uncertainty?

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bootstrapping yield curve excel vba

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bootstrapping yield curve excel vba

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