Time-Varying Term Premium: Controlling Projected Rates
Document ID: 2009-1523
Published on: 3rd 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. The calibration tool available for use with this model offers clients the ability to calibrate the model to their own in-house views.
The TVTP model and the related calibration tool will be made available in all Barrie + Hibbert’s products during 2009, with calibrations available from the 30 September 2009 cycle.
