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When I first got into finance, it was working for a professor who'd come up with one of, if not the first, reasonably good fixed income option model. Our origin
by bwanab 7y ago
When I first got into finance, it was working for a professor who'd come up with one of, if not the first, reasonably good fixed income option model. Our original implementation allowed for negative interest rates since as he put it, they're not unheard of (this was in the 1980s, so long term interest rates in the US were well over 10% at the time). Everywhere we demo'd the model, practitioners complained that you can't have negative interest rates, so our next iteration got rid of them. Interesting times.