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I simulate the CIR85 model and derive Monte Carlo simulation estimates for Zero-Coupon Bond (ZCB) values.

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Zero Coupon Bond Pricing by Monte Carlo Simulation

  1. Simulate the CIR85 model and derive Monte Carlo simulation estimates for Zero-Coupon Bond (ZCB) values.
  2. Plot rate path generated by Monte Carlo simulation estimates and corresponding price path.

The models, formulas, and code referred to the book DERIVATIVES ANALYTICS WITH PYTHON.

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I simulate the CIR85 model and derive Monte Carlo simulation estimates for Zero-Coupon Bond (ZCB) values.

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monte-carlo-simulation bond-pricing cir-model

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