An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices
收藏NBER2001-12-01 更新2025-01-04 收录
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https://www.nber.org/papers/w8682
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资源简介：
We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR, swap rates and caps and swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and swap rates rather well. The model is able to match the hump shaped unconditional term structure
提供机构：
美国国家经济研究局
创建时间：
2001-12-01
