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by Simon Benninga and Zvi Wiener
In this article, the authors develop several discrete versons of term structure models and study their major properties. We demonstrate how to program and calibrate such models as Black-Derman-Toy and Black-Karasinski. In addition we provide some simple methods for pricing options on interest rates.

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Lecture notes by Peter Jackel
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Nice explanation with examples on BDT implementation
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Christoph Klose
Li Chang Yuan
Contents of this paper
Contents...................................................................................................................... 2
1. Introduction to Term Structure Models..................................................................... 3
2. Term Structure Equation for Continuous Time........................................................... 4
3. Overview - Basic Processes of One-Factor Models ................................................... 6
4. The Black Derman and Toy Model (BDT) .................................................................. 7
4.1. Characteristics ................................................................................................. 7
4.2. Modeling of an
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