Spreadsheet: 239159d1369835985-question-about-addin-and-a-special-function-52vasicek-model-v3
Sheet: numex

[NAME] |  |  | © copyright THC 2003. All rights reserved by [NAME], NY, NY. |  |  |  |  |  | www.thomasho.com |  | [EMAIL]
reference number | 16 | classification# | 50302 |  | Instructions
Version | 1 | level | basic |  | Use "data-table" to generate the discount function and the term structure.
publication date | 2003-05-19 00:00:00
author | [NAME].
affiliation | Hanyang University |  |  |  | input | current short term interest rate, long-term mean, mean reverting speed, the volatility of short rate, maturity date, current date
email address | [EMAIL]
last revised date | 2003-12-07 00:00:00 |  |  |  | output | discount function and term structure
references | [NAME], O., 1977, An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, [NAME], 177-188.
 | Ch.5 of "The Oxford Guide to Financial Modeling" by [NAME] and [NAME], 2004, Oxford University Press
Descriptions
financial model class | Interest Rate Derivatives: Interest Rate Models
issuer/[NAME]
model type | Equilibrium Models
risk sources | interest rate
risk distribution | normal
economic assumptions | equilibrium
technical assumptions | continuous compounding
key words
Links
data
financial models
Inputs
the level of short rate (r(t)) | 0.05
the long-term mean (b) | 0.06
the mean reverting speed (a) | 0.15
the volatility of short rate (σ) | 0.01
maturity date (T) | 1
current date (t) | 0
Outputs
time to maturity |  | 0 | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | 21 | 22 | 23 | 24 | 25 | 26 | 27 | 28 | 29 | 30
P(t,T) | 0.9505647960293325 | 1 | 0.9505647960293325 | 0.9024751765449881 | 0.8559730615687529 | 0.8112134289997064 | 0.7682866925093266 | 0.7272355915963644 | 0.6880679082773444 | 0.6507660290214592 | 0.615294130024293 | 0.5816035747135914 | 0.549636966644964 | 0.5193311902263715 | 0.4906196883435495 | 0.4634341635354356 | 0.4377058427720101 | 0.4133664111467714 | 0.3903486938898323 | 0.3685871467629226 | 0.3480182004201809 | 0.3285804934521196 | 0.3102150206457398 | 0.292865216805865 | 0.2764769917852503 | 0.2609987287899904 | 0.2463812552853379 | 0.2325777937197497 | 0.2195438976587473 | 0.2072373776605374 | 0.195618220246408 | 0.1846485025558292
r(t,T) | 0.05069894890968151 | 0.05 | 0.05069894890968151 | 0.05130704718334298 | 0.05183879115518383 | 0.0523060229488562 | 0.05271846359089406 | 0.05308413232953652 | 0.05340967743260185 | 0.0537006379748615 | 0.05396165170038619 | 0.0541966206437852 | 0.05440884357609766 | 0.05460112232318223 | 0.05477584744693924 | 0.05493506757570656 | 0.0550805457379494 | 0.05521380533032225 | 0.05533616778935568 | 0.05544878359861785 | 0.05555265792196167 | 0.05564867188667259 | 0.05573760033125653 | 0.0558201266683649 | 0.05589685538399981 | 0.05596832259198917 | 0.05603500498182228 | 0.05609732743367749 | 0.0561556695232745 | 0.056210371098261 | 0.05626173707502257 | 0.0563100415783939
f(t,T) |  |  | 0.05069894890968151 | 0.0519151454570045 | 0.05290227909886554 | 0.05370771832987335 | 0.05436822615904545 | 0.05491247602274887 | 0.0553629480509939 | 0.05573736177067905 | 0.05604976150458361 | 0.05631134113437641 | 0.05653107289922225 | 0.05671618854111252 | 0.05687254893202333 | 0.05700492924968173 | 0.05711724000934915 | 0.05721269921591485 | 0.05729396713389055 | 0.05736325235607481 | 0.05742239574215057 | 0.05747293721617979 | 0.05751616922293528 | 0.05755317974764093 | 0.0575848871279678 | 0.0576120683757442 | 0.05763538233781697 | 0.057655388730058 | 0.05767256385279666 | 0.05768731362289652 | 0.05769998442434669 | 0.05771087217616225
Interim Calculations
B(t,T) | 0.9286134904996146
A(t,T) | 0.9957408217522061
P(t,T) | 0.9505647960293325
r(t,T) | 0.05069894890968151