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Author | Topic: Interest Rate Mo Interest Rate Model Calibration Issue del Calibration Issue | 1555 Views |
19 November 2013 at 6:15pm
Hi There,
I'm a student and I'm new to Fairmat. First of all, thanks for offering the academic version of Fairmat. I'm currently do a interest rate modeling project and what I'm trying to do is to calibrate the parameters in the CIR model, but the problem is I don't how to use Fairmat to do the work. Could you help me with that, i.e. show me step by step how to use Fairmat? So let's say I have a excel file, which contains the daily yield data from 2000 t0 2012, and the every day,the data consists of different tenors, i.e. I have a excel dataset of m*n matrix, m is the number of days and m is the tenors for each day. How can I use Fairmat to calibrate the data using one factor CIR model? Can anybody help me with the issue? Thanks!
sgenshi
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