New model accurately forecasts interest rates and derivatives, impacting financial markets.
The article presents a new model for predicting interest rates and derivatives. The model is designed to be easy to use and can accurately forecast future interest rates and derivative prices. It takes into account the relationships between changes in interest rates and changes in volatility. The model was tested using real-world data and was found to match market trends well, including the behavior of implied volatilities and cap skews. Overall, the model is effective in pricing and forecasting interest rate derivatives.