Vasicek Model


Vasicek Model is a direct subtype of Model[Short Rate]
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with functions Vasicek Model Functions, keys Vasicek Model keys and example object Vskmdl

TYPE INCLUSION RELATIONSHIPS

Model Short Rate

Vasicek Model

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Lambda

Sigma

a

b

r0

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TYPICAL OBJECTS OF TYPE Vasicek Model

Vskmdl

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This type represents a short rate that follows a single-factor stochastic process r according to the SDE:
dr = a(b - r)dt + σdw
where w is a Wiener process and α, b, σ are constants.
A risk premium λ may also be specified.