Financial Toolkit : European Bond Option By 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 %
European Option
Option type Time to maturity in yrs
Bond
Coupon Payment Freq Time to maturity in yrs