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Calibrating Interest Rate Models | SOA

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Calibrating Interest Rate Models

November 2023

Authors

Rohana Ambagaspitiya, FSA, FCIA, PhD

Charles Ford, FSA, MAAA, CFA

Description

This paper introduces practitioners to the selection and calibration of stochastic interest rate models. Six continuous time interest rate models and their calibration are presented. Actual code and data examples are added to help the practitioner implement them. The emphasis is on hands-on calibration with RStudio. The reader is assumed to have a working knowledge of RStudio, including writing R scripts.

Materials

Calibrating Interest Rate Models

InterestCalibration.0.1.0.tar.gz

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