You have estimated the parameters for the Vasicek model, and the results are in Table 15.3, where

Question:

You have estimated the parameters for the Vasicek model, and the results are in Table 15.3, where the notation is the same as that used in this chapter. The current overnight rate is 2%.
(a) Compute the value of zero bonds (with $1 principal) up to 10 years to maturity. What parameters did you use?
(b) Compute the spot rate of each zero bonds up to 10 years, and plot the results on a graph.
(c) Compute the spot rate duration for each zero bond.

Coupon
A coupon or coupon payment is the annual interest rate paid on a bond, expressed as a percentage of the face value and paid from issue date until maturity. Coupons are usually referred to in terms of the coupon rate (the sum of coupons paid in a...