A Graphic Model for the Term Structure of Interest Rates
In this article, we use graph theory to model the term structure of interest rates. In particular, we use a directed acyclic graph (DAG) to model the key swap rates. Then we calibrate the model to at-the-money (ATM) swaptions (i.e., ATM swaption volatility surface). Afterward, the model can be used to price exotic interest rate options (e.g., callable range accruals).
Authors
- Ren-Raw Chen
- Jeffrey Huang (ORCID: https://orcid.org/0000-0003-0501-2791)
- PeiLin Billy Hsieh (ORCID: https://orcid.org/0000-0002-8587-9215)
- Li Luo (ORCID: https://orcid.org/0000-0001-5296-7000)
Institutions
- Fordham University (US)
- National Australia Bank (AU)
- National Chengchi University (TW)
Publication Details
- Journal
- The Journal of Fixed Income
- Published
- 2024-12-30
- DOI
- https://doi.org/10.3905/jfi.2024.1.199
- Primary Topic
- Economic theories and models
- Type
- article
- Field-Weighted Citation Impact
- 0.00