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 non-callable bonds

The goal of this project is to implement a Black-Derman-Toy-like 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: