A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
提出一种通用的树构建程序，可适配多种短期利率模型，并利用2004-2013年的市场数据校准分段线性波动率函数，以最优拟合利率上限期权价格。
One-factor no-arbitrage models of the short rate are important tools for valuing interest rate derivatives. Trees are often used to implement the models and fit them to the initial term structure. This paper generalizes existing tree building procedures so that a very wide range of interest rate models can be accommodated. It shows how a piecewise linear volatility function can be calibrated to market data and, using market data from days during the period 2004–2013, finds a best fit to cap prices.