Hello,

In interest rate trees, like BDT, I got the short rate.

But I'm not sure how to get implicit interest rate for 3, 6 or 12 months from an interest rate tree.

Do I need to get discount factors from BDT?

Thanks,

V.

Hi. I'm not well in English.

I did with Hull-White Interest rate model.
If you got the short rate of the each nodes on tree,
you could make implicit rate with closed form of any interest rate model.
in Hull-White interest rate model.
you could calculate P(t,T) = hat_A(t,T)exp(-hat_B(t,T) r)
here, r is delta t period rate on tree node.
R(t,T) = - ln P(t,T)/(T-t)
here, R(t,T) is zero rate(t,T) on nodes.
you should calucluate every node.

I didn't calculate an implicit rate(like R(t,T) in hull-white model) with BDT model.
because I couldn't find closed form about P(t,T) in BDT Model.
So, I just make r[i][j] = U[i]*exp(vol*k*sqrt(dt)),
here r[][] means delta t period zero rate on tree node,
R(t,T) in hull-white model is not same meaning with r[][] in BDT model. r in hull-white model is same meaning with r[][] in BDT Model.