I have utilized C style while programming in Ox, so these
two are under the same tab.
Project 1. Interest Rate Derivatives: pricing callable
and noncallable bonds
The goal of this project
is to implement a BlackDermanToylike model in order to construct a binomial
interest rate tree that would fit the observed term structure. That is
done according to the algorithm given in the paper of Peter Raahauge. The actual
term structure of Danish Government Bonds is used as an example. The Ox code
(which can be viewed as a regular text file)
produces the prices of callable bond, uncallable bond and the embedded option
price. It also creates an Excel file where you can see the discount factor tree.
Below you can download:
