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Janos Gyenese
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Models (
Hi everybody
Has anybody impemented the Ho-Lee, Black Derman Toy and Black-Karasinski model using QuantLib?
rgds,
Janos
Sadruddin Rejeb-4
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Re: Models (
Hi,
> Has anybody impemented the Ho-Lee, Black Derman Toy and
> Black-Karasinski model using QuantLib?
Yes, there has been an implementation since version 0.3.0. You can find
the code in the ql/ShortRateModels/ directory.
Regards,
Sad
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