@misc{9240256,
  abstract     = {{This thesis studies the pricing of overnight indexed swap (OIS) caps using a one-factor CIR++ short-rate model with piecewise constant volatility. The model combines a CIR process with a deterministic shift, allowing an exact fit to the initial zero-coupon term structure and thereby enabling the remaining CIR parameters to be calibrated to other market instruments. OIS caplets are priced using Laplace transform based methods, and cap prices are obtained as sums of the
underlying caplets.

The empirical analysis evaluates the model’s performance in two distinct market environments characterized by different yield-curve shapes. The study examines in-sample fit across maturities, out-of-sample pricing performance, pricing across strikes, and the effect of using different calibration strike sets and calibration windows. The results show that the model reproduces observed market cap prices well in sample and captures the cap price surface across strikes and maturities with reasonable accuracy. Out-of-sample performance is weaker than in sample, but remains satisfactory overall. The estimated volatility parameters appear relatively stable across maturities and over time. Overall, the findings suggest that the CIR++ model with piecewise constant volatility provides a tractable and reasonably accurate approach for price-based calibration and pricing of OIS caps, although some limitations remain, particularly regarding implied-volatility inversion for certain contracts.}},
  author       = {{Pitkänen Fungbrant, Viktor}},
  issn         = {{1404-6342}},
  language     = {{eng}},
  note         = {{Student Paper}},
  series       = {{Master’s Theses in Mathematical Sciences}},
  title        = {{OIS Cap Pricing Using a CIR++ Model with Time-Dependent Volatility}},
  year         = {{2026}},
}