AIM-IT4 / Interest-rate-stochastic-models-prediction-

Interest Rate Predictions using Monte Carlo Simulations

This project uses various interest rate stochastic models to simulate potential future paths for interest rates. The models used include Vasicek, Cox-Ingersoll-Ross (CIR), Hull-White, and an approximated version of Black-Derman-Toy (BDT).

Results:

• Predicted Interest Rates at the end of Next Month:
  • Vasicek: 3.027% ± 0.313%
  • CIR: 3.056% ± 0.097%
  • Hull-White: 3.031% ± 0.298%
  • BDT (Approximated): 3.062% ± 0.265%

Code:

The code for the simulations can be found in the code directory.

License:

MIT