Predict Interest Rate with Calibrated CIR Model

The Cox-Ingersoll-Ross (CIR) model describes the evolution of interest rates.
It is a type of "one factor model" (short rate model) as it describes interest rate movements as driven by only one source of market risk.
The model can be used to predict where interest rates will end up at the end of a given period of time.
It outlines an interest rate’s evolution as a factor composed of market risk, time, and equilibrium value.
I explained and demonstrated how to calibrate CIR model and how to use calibrated CIR model to predict interest rate with Monte Carlo simulations
You are welcome to provide your comments and subscribe to my UA-cam channel.
The Python code and Excel file were uploaded into github.com/AIM...

[@way2worldoffinance436]

This video is a great asset and value add. Excellent.

[@statisticsandriskmodeling5477]

Thank you for your encouragement!

[@reubenmarfo9855]

could you please explain how you got the expression (rt-d rt-1)^2/(rt+b) for the residual of the discretized CIR model?

[@reubenmarfo9855]

Could you provide the basis or the origin of the continuous volatility formula

[@JaiShriRamJaiRaghuveer]

great