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
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 coupon bonds (with $1 principal) up to 10 years to maturity. What parameters did you use?
(b) Compute the spot rate of each zero coupon bonds up to 10 years, and plot the results on a graph.
(c) Compute the spot rate duration for each zero coupon bond.
.png){kind=small}
t 5.09% 0,3262 2.21 % 0.4653 6.34%
Step by Step Solution
3.39 Rating (158 Votes )
There are 3 Steps involved in it
a In order to value the zero coupons we use the risk neu... View full answer
Get step-by-step solutions from verified subject matter experts
Document Format (1 attachment)
939-B-C-F-R-A-M (1369).docx
120 KBs Word File
Study Help