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  • Vasicek Model: R (0) Nat

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    Juan Martin
    54 views4 pages
    The document contains parameters and results of the Vasicek model, which is used to model interest rate behavior. It includes the initial short rate, long-term mean reversion level, volatility and other parameters. Over a 30 period horizon, it shows the evolution of spot rates, future rates, and other values under the model. Charts are also provided plotting the rates and other values over time.

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    Vasicek

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    The document contains parameters and results of the Vasicek model, which is used to model interest rate behavior. It includes the initial short rate, long-term mean reversion level, volatility and other parameters. Over a 30 period horizon, it shows the evolution of spot rates, future rates, and other values under the model. Charts are also provided plotting the rates and other values over time.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    54 views4 pages

    Vasicek Model: R (0) Nat

    Uploaded by

    Juan Martin
    The document contains parameters and results of the Vasicek model, which is used to model interest rate behavior. It includes the initial short rate, long-term mean reversion level, volatility and other parameters. Over a 30 period horizon, it shows the evolution of spot rates, future rates, and other values under the model. Charts are also provided plotting the rates and other values over time.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    of 4

    Vasicek Model

    r(0)

    nat,

    r.n.

    0.7565%
    0.17458
    9.1816%
    0.02705
    0.07000
    8.0970%

    R
    var(r)

    6.8966%
    0.00210

    T
    0
    1
    2
    3
    4
    5
    6
    7
    8
    9
    10
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    21
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    23
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    27
    28
    29
    30

    a(0,T)
    #VALUE!
    #VALUE!
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    b(0,T)
    #VALUE!
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    p(0,T)
    #VALUE!
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    #VALUE!
    #VALUE!

    R(0,T)
    0.756%
    #VALUE!
    #VALUE!
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    f(0,T)
    #VALUE!
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    #VALUE!

    E0P[r(T)] E0Q[r(T)] R
    0.756%
    2.106%
    3.240%
    4.191%
    4.991%
    5.662%
    6.226%
    6.699%
    7.097%
    7.431%
    7.711%
    7.947%
    8.145%
    8.311%
    8.450%
    8.567%
    8.666%
    8.748%
    8.818%
    8.876%
    8.925%
    8.966%
    9.001%
    9.030%
    9.054%
    9.074%
    9.092%
    9.106%
    9.118%
    9.128%
    9.137%

    0.756%
    1.932%
    2.920%
    3.749%
    4.446%
    5.031%
    5.522%
    5.934%
    6.281%
    6.572%
    6.816%
    7.021%
    7.194%
    7.338%
    7.460%
    7.562%
    7.648%
    7.720%
    7.780%
    7.831%
    7.873%
    7.909%
    7.939%
    7.965%
    7.986%
    8.004%
    8.019%
    8.031%
    8.042%
    8.051%
    8.058%

    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%
    6.8966%

    1/a nat r.n.


    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%
    5.727896 9.1816% 8.0970%

    10.000%
    9.000%
    8.000%
    7.000%
    6.000%
    5.000%
    4.000%
    3.000%
    2.000%
    1.000%
    0.000%
    0

    R(0,T)

    10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

    f(0,T)

    R infinity

    E0P[r(T)]

    E0Q[r(T)]

    gamma nat

    7.000000

    6.000000

    5.000000

    4.000000

    3.000000

    2.000000

    1.000000

    0.000000
    0

    9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30
    a(0,T)

    b(0,T)

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