How to simulate interest rates in Python?
【Ｏｎｌｉｎｅ Ｃｏｕｒｓｅｓ】
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The video
This video explains the Vasicek (1977) model, which can be used to simulate interest rates. There are many applications in finance and risk management where simulated interest rates can be useful. Vasicek model belongs to the class of one-factor interest rate models. These models have in common that only one factor (the market factor) drives interest rates. I will explain how this model works and how we can implement the model in Python. We will create our own class and two methods. The first method generates a Wiener process and the second method provides simulated interest rates using the Vasicek model.
GitHub
https://github.com/GerhardKling/Simul...
The channel
YUNIKARN focuses on publishing educational content in applied statistics, mathematics, and data science. In these fields, programming skills have become essential. Hence, we cover various programming languages, including Python, Stata, and C++, to tackle problems and for fun. We upload on Mondays recorded tutorials or live streams.
Hashtags
#simulation #python #interestrates