BDT Short Rate Model
A professional Python implementation of the Black-Derman-Toy (BDT) binomial short-rate model for interest rate derivatives pricing and calibration.
Installation
pip install bdt-short-rate
Quick Start
import numpy as np
from bdt import BDTModel, BDTCalibrator, SwaptionPricer
# Market spot rates (annualized)
spot_rates = np.array([0.03, 0.031, 0.032, 0.033, 0.034,
0.035, 0.0355, 0.036, 0.0365, 0.037])
# Create and calibrate the model
model = BDTModel(n_periods=10, b=0.05, dt=1.0)
calibrator = BDTCalibrator(model, spot_rates)
calibrator.calibrate()
# Price a swaption
pricer = SwaptionPricer(model)
price = pricer.price_payer_swaption(
expiry=5,
tenor=4,
strike=0.05,
notional=1_000_000
)
print(f"Swaption price: ${price:,.2f}")
Features
- Calibration: Fit model to market zero-coupon bond prices using scipy.optimize
- Pricing: Value swaptions, defaultable bonds, and other interest rate derivatives
- Lattice Visualization: Display the short-rate binomial tree
- CLI Interface: Command-line tools for production use
CLI Usage
# Calibrate model to market data
bdt calibrate --data market_rates.csv --volatility 0.05 --output calibrated.json
# Price a swaption
bdt price-swaption --model calibrated.json --expiry 5 --tenor 4 --strike 0.05
# Show the rate lattice
bdt show-lattice --model calibrated.json
Documentation
See the full documentation for detailed API reference and examples.
License
MIT License
1 maintainer
Metadata
1 maintainer
Release files for bdt-short-rate 1.0.0
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Total release size: 41.1 kB
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