BDT 모형 엑셀 파일 입니다. Interest Rate Tree, Zero Price, VOL 수정 가능 이에 따른 옵션 가격 계산 가능
BDT모형.xls


본문
Interest Rate Tree:
Zero Coupon Yields & Volatilities
5.20090%Model Values:Actual Values:
4.94949631%MaturityYTMVolzero priceMaturityYTMVolat
4.34036194%4.67700%13.50%N/A0.96618313.50%N/A
3.50%3.73450689%23.59%18.00%0.93188923.59%18.00%
3.02816899%4.20587%33.66%16.00%0.89777233.66%16.00%
2.81776990%43.86%12.00%0.86207543.85%12.00%
3.78221%

본문내용
Maturity YTM Vol zero price Maturity YTM Volat
4.340% 4.677% 1 3.500% N/A 0.966183 1 3.500% N/A
3.500% 3.735% 2 3.590% 18.000% 0.931889 2 3.590% 18.000%
3.028% 4.206% 3 3.660% 16.000% 0.897772 3 3.660% 16.000%
2.818% 4 3.857% 11.999% 0.862075 4 3.850% 12.000%
3.782%
Zero Prices: YTM Trees:
One Year:
1 Lattice of One-Year Yields Calibrated to Market Data
0.966183574879227 3.500% 5.201%
1