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Monte Carlo simulation in the context of interest rate financial engineering. Case and numbers are fictional and for illustration purposes only.

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Case-Simulation-Valuation

Monte Carlo simulation in the context of interest rate financial engineering. Case and numbers are fictional and for illustration purposes only.

Requirements

No special library or installation needed.

Techniques used in valuation process

Monte Carlo simulation for the evolution of interest rate path. No variance reduction.

Interest rate path is assumed to follow the Hull-White Brownian Motion interest rate model.

Model parameters calibration using squared difference.

Basic data visualization with matplotlib.

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Monte Carlo simulation in the context of interest rate financial engineering. Case and numbers are fictional and for illustration purposes only.

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