I came across a paper by Rodda (2004), who simulates interest rates with a Markov sequence. To simulate changes in the interest rates, they used the historical transition probabilities. Their transition table looks as follows:
The rows represent the initial interest rate level, and the columns the possible change in interest rate for the next period. I was wondering how to compute such a table with data from another country, as they did not explain it in the paper. Furthermore, since it's not really a transition matrix from one state to another, but rather the probability of a certain change given the current state, I was wondering what the name of such a model is so that I can look for more information.