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April 8, 2009

solution to final assignment

I have posted an HTML version of my solution to the final assignment.

I hope to hand off your graded submissions next weekend when I am back in town so that Gary can turn them back on April 22.

Posted by John Dodson at 11:58 PM | | Comments (0)

April 6, 2009

G2++ tree

I found an error in my notebook from last night's demonstration, which I have fixed. Also, I have posted the code in the docs folder.

Posted by John Dodson at 9:11 PM | | Comments (0)

April 1, 2009

typo in the assignment

Please re-load the assignment. I meant to write "forward swap rate" or "ATM swaption rate" for the first problem.

Posted by John Dodson at 6:52 PM | | Comments (0)