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Mathematics, 18.08.2020 04:01 mylaaaa79

Assume b=0.05b=0.05b=0.05 is a constant for all iii in the BDT model as we assumed in the video lectures. Calibrate the aia_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 10−810^{-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.

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Assume b=0.05b=0.05b=0.05 is a constant for all iii in the BDT model as we assumed in the video lect...
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