Financial Toolkit : Pricing A Bond Using BDT Model

Input
BDT mode
Initial zero (spot rate) curve
Term in years No of steps
Year 1 2 3 4 5
Rates in %
Short rate volatility curve (not to be confused with the volatility of the initial zero rate)
Year 1 2 3 4
Volatilities in %
Bond
Coupon Payment Freq Time to maturity in yrs
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