Use market data for the price of zero coupon bonds to fit a Ho Lee model Refit the model with data for a week later in time Compare the two curves for (t) The second curve for starts a week after the first curve They should not be plotted starting at the same point in time ...

To fit a Ho Lee model using market data for the price of zerocoupon bonds you would need ...

Use market data for the price of zero-coupon bonds to fit a Ho & Lee model. Refit

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Use market data for the price of zero-coupon bonds to fit a Ho & Lee model. Refit the model with data for a week later in time. Compare the two curves for η ∗(t).

The second curve for η^∗ starts a week after the first curve. They should not be plotted starting at the same point in time.

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Introduces Quantitative Finance

ISBN: 978-0470319581

2nd edition

Authors: Paul Wilmott

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Question Posted: Sep 23, 2020 05:59 AM

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Use market data for the price of zero-coupon bonds to fit a Ho & Lee model. Refit

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Introduces Quantitative Finance

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