Forthcoming release of new model and related calibration tool: Time-Varying Term Premium
Last updated 8th September 2009 - 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
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. To learn more about this development, please get in touch with your usual B&H contact or follow this link to the full Knowledge Base article.
