iESG 6.2.3 Enhancement Note - Time-Varying Term Premium
Document ID: 2009-1530
Published on: 10th September 2009
Author: Colin Holmes
B&H have developed an extension to the 2-factor Black-Karasinski model that increases flexibility in controlling the projected path of interest rates in Real-World applications - whilst retaining the model’s arbitrage-free property. This note provides a summary of the model, describes how it generalises the existing model and the resulting benefits, and describes the software changes that the user will see.
