Vasicek 1/2 Factor Models Usage in Excel

[ElMariachi]

Is there a 2 factor version of the vasicek term structure model?  How can I use this in Excel to model 3m forward rates?

Does anyone have an example of this?

Thanks!

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[aincze]

Hi,

 maybe you can have a look at the twofactormodel class, that should be a G2++
model. I'm not sure that you need a 2 factor model for modelling 3m forward
rates, perhaps if you have a payoff that strongly depends on the IR curve
slope/volatility.

  regards,

André

Quoting luis cota <[hidden email]>:

> Is there a 2 factor version of the vasicek term structure model?  How can I
> use this in Excel to model 3m forward rates?
>
> Does anyone have an example of this?
>
> Thanks!
>



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[Luigi Ballabio]

On Wed, 2010-07-14 at 09:35 +0200, [hidden email] wrote:
>  maybe you can have a look at the twofactormodel class, that should be a G2++
> model. I'm not sure that you need a 2 factor model for modelling 3m forward
> rates, perhaps if you have a payoff that strongly depends on the IR curve
> slope/volatility.

The TwoFactorModel class is the base class. At this time, the G2 class
is the only one that inherits from it. Vasicek is only implemented as a
one-factor model.

Luigi


--

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To call a property a feature sometimes means the author did not
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it's a feature!" A bug can be changed to a feature by
documenting it.



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[animesh]

HJM Model in excel. Mailing it to whole group, for other ppl too :)

 

On Wed, Jul 28, 2010 at 5:54 AM, luis cota <[hidden email]> wrote:

Hi - I just saw this reply to my original post. I would love to see the HJM model in excel - could you share that please?

Thanks!

- Luis

On Wed, Jul 14, 2010 at 4:26 AM, ANIMESH SAXENA <[hidden email]> wrote:

You can try HJM model. It's similar to vasicek model and you can have lots of fudges for parameters. I have an excel version of HJM Model if you want it. 

On Wed, Jul 14, 2010 at 5:18 AM, luis cota <[hidden email]> wrote:

Is there a 2 factor version of the vasicek term structure model?  How can I use this in Excel to model 3m forward rates?

Does anyone have an example of this?

Thanks!

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