Zero Coupon Bond under Vasicek Model

Posted by Szu-Yu (Gary) Pai

Zero Coupon Bond

Input:
Speed of reversion (a)
Long term mean level (b)
Instantaneous volatility (sigma)
Time to maturity (T)
Initial interest rate (r) %
Output:
Price of Zero Coupon Bond that pays $1 at T

The calculation is based on Vasicek model, dr=a(b-r)dt+sigma*dw

Tagged: Zero Coupon Bond Calculator, Short Rate Model, Vasicek Model

 •  Jan 19, 2014  • 

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