Question: Take a Vasicek model with parameters = 1, r= 5%, = 20%, = 1.5, r = 10% and suppose that the current repo rate r(0)

Take a Vasicek model with parameters = 1, r= 5%, = 20%, = 1.5, r = 10% and suppose that the current repo rate r(0) = 1%.

1. What is the models best prediction of the repo rate tomorrow (1 business day from now)? That is, what is the E[r(dt)]?

2. What is the model predicted price of a 1.5y Treasury note with a coupon rate of 5%? You might need to use Excel or Python to

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