Our framework for Interest rate modeling utilizes one of the following three continuous time series models:
- Vasicek Model
- Cox, Ingersoll, Ross (CIR)
- Heath,Jarow,Morton (HJM)
The scope extends to forecasting short- and long-term rates, viz., call money rate, and interest rates on Government securities with (residual) maturities of one year, five years and ten years.