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National Repository of Grey Literature 1 records found  Search took 0.01 seconds. 
Interest Rate Models - Practical Aspects
 Hakala, Michal ; Janeček, Martin (advisor) ; Sitař, Milan (referee)
Topic of the master thesis is practice of interest rate models. Literature dedicated to the interest rate models usually presents theory in very general form. Theory presented in general form leads to a gap between theory and practice. Author tries to fill this gap. Thesis describes basic theory and presents practical computations, which are relevant to generating interest rate scenarios. Contribution is given by derivation of formulas and computational methods in form directly applicable for implementation of presented models. It is common practice to validate quality of interest rate scenarios. Author presents several tests and implements them in programming language Python. Tests are implemented as application with graphical user interface.
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