financialengineerlab/interestratemodelscpp

Interest Rate Models in C++

This repository contains C++ code implementations for various interest rate models. The models covered include:

1. Vasicek Model

   • Description: The Vasicek model captures the mean reversion property of interest rates based on the Ornstein–Uhlenbeck process.
   • Code: vasicek_model.cpp

2. Cox–Ingersoll–Ross (CIR) Model

   • Description: The CIR model addresses the positivity problem encountered with the Vasicek model, introducing a nonconstant volatility.
   • Code: cir_model.cpp

3. Constant Elasticity of Variance (CEV) Model

   • Description: The CEV model accounts for nonconstant volatilities that can vary as a power of the underlying asset price.
   • Code: cev_model.cpp

4. Hull-White (HW) Model

   • Description: The Hull-White model is an extension of the Vasicek model, introducing time-dependent interest rate volatility.
   • Code: hull_white_model.cpp

5. Ho and Lee (HoLee) Model

   • Description: The Ho and Lee model is based on a deterministic function of time, extending the Merton model.
   • Code: ho_lee_model.cpp

6. Chan–Karolyi–Longstaff–Sanders (CKLS) Model

   • Description: The CKLS model is a parametrized interest rate model designed to account for nonconstant volatilities.
   • Code: ckls_model.cpp

7. Heath–Jarrow–Morton (HJM) Model

   • Description: The HJM model represents the instantaneous forward rate with a stochastic differential equation, allowing for a multi-factor term structure model.
   • Code: hjm_model.cpp

Usage

Each model has its own C++ file in the repository. To use a specific model, you can refer to the corresponding C++ file and adjust the parameters as needed for your application.

Instructions

1. Clone the repository:

git clone https://github.com/AIM-IT4/interest-rate-models-cpp.git