Build Binomial Interest Rate Treewith Black Derman Toy Model
Black, Derman, and Toy model is an early no-arbitrage model published in 1990.
This model has the advantage that it can easily be represented in the form of a binomial tree.
In mathematical finance, the Black–Derman–Toy model (BDT) is a popular short-rate model used in the pricing of bond options, swaptions and other interest rate derivatives.
John Hull wrote his method for building the bionomial tree and I demonstrated how to implement this method in Python.
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The Python code is uploaded into https://github.com/AIMLModeling/Black...