Question: Assume the following: Mean Reversion Rate: 4% long term average Speed of Convergence: .01 Current Short rate: 1% Current Short Rate Volatility: 9% Use the

Assume the following:

Mean Reversion Rate: 4% long term average

Speed of Convergence: .01

Current Short rate: 1%

Current Short Rate Volatility: 9%

Use the Vasicek model to derive the term structure from 1 to 10 years

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