Assume b=0.05b=0.05 is a constant for all ii in the BDT model as we assumed in the video lectures. Calibrate the a_iai parameters so that the model term-structure matches the market term-structure. Be sure that the final error returned by Solver is at most 10^{-8}10−8. (This can be achieved by rerunning Solver multiple times if necessary, starting each time with the solution from the previous call to Solver.Once your model has been calibrated, c ...
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08 Jul 2021
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