no code implementations • 18 Apr 2023 • Raj G. Patel, Tomas Dominguez, Mohammad Dib, Samuel Palmer, Andrea Cadarso, Fernando De Lope Contreras, Abdelkader Ratnani, Francisco Gomez Casanova, Senaida Hernández-Santana, Álvaro Díaz-Fernández, Eva Andrés, Jorge Luis-Hita, Escolástico Sánchez-Martínez, Samuel Mugel, Roman Orus
The Cheyette model is a quasi-Gaussian volatility interest rate model widely used to price interest rate derivatives such as European and Bermudan Swaptions for which Monte Carlo simulation has become the industry standard.