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Using US Treasuries to calibrate the Black Derman Toy (BDT) Model

The Black Derman Toy (BDT) model is a one-factor, no-arbitrage interest rate model. One-factor in that the entire term structure of interest rates can be inferred with reference to the process underlying the short rates derived. No-arbitrage in that the term structure derived is exactly consistent with the current term structure- the zero curve yield […]

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