Vasicek Spreadsheet - DM rates by maturity monthly data...

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DM rates by maturity, monthly data, June 95 to July 98 date 1 12 24 36 48 60 84 120 Jun-95 4.476 4.451 4.948 5.48 5.892 6.21 6.716 7.116 Jul-95 4.587 4.612 5.383 5.913 6.337 6.657 7.187 7.542 4.465 4.398 5.133 5.636 6.018 6.346 6.891 7.225 4.251 4.153 4.741 5.307 5.799 6.148 6.747 7.197 4.049 3.913 4.537 5.131 5.663 6.058 6.687 7.17 4.062 3.904 4.401 4.914 5.405 5.825 6.466 6.981 4.19 3.691 3.999 4.479 4.976 5.378 6.062 6.645 3.809 3.481 3.876 4.365 4.903 5.378 6.102 6.65 3.375 3.246 3.944 4.553 5.147 5.607 6.32 6.826 3.314 3.291 3.923 4.573 5.189 5.657 6.341 6.879 3.315 3.232 4.352 4.986 5.541 5.974 6.659 7.173 3.327 3.302 4.056 4.724 5.333 5.792 6.538 7.094 3.358 3.411 4.055 4.656 5.199 5.665 6.386 6.935 3.351 3.683 4.512 5.116 5.636 6.041 6.615 7.037 3.343 3.431 4.096 4.708 5.27 5.699 6.342 6.824 3.13 3.346 3.926 4.554 5.138 5.609 6.296 6.848 3.066 3.148 3.614 4.18 4.753 5.221 5.927 6.578 3.059 3.25 3.731 4.232 4.721 5.156 5.828 6.36 3.312 3.256 3.656 4.151 4.653 5.092 5.791 6.397 3.103 3.125 3.593 4.089 4.597 5.067 5.781 6.421 3.114 3.153 3.551 3.991 4.436 4.837 5.491 6.098 3.239 3.388 3.869 4.317 4.758 5.153 5.771 6.352 3.178 3.323 3.818 4.272 4.754 5.183 5.794 6.327 3.072 3.276 3.724 4.148 4.578 4.995 5.613 6.191 3.067 3.147 3.637 4.072 4.495 4.891 5.545 6.141 3.14 3.318 3.805 4.183 4.544 4.887 5.449 6.017 3.127 3.565 4.015 4.409 4.803 5.051 5.551 6.046 3.144 3.498 4.077 4.447 4.768 5.049 5.499 5.965 3.415 3.925 4.506 4.826 5.061 5.264 5.549 5.88 3.457 4.075 4.613 4.919 5.152 5.371 5.674 5.982 3.769 4.038 4.424 4.689 4.929 5.122 5.408 5.709 3.488 3.71 4.145 4.4 4.635 4.83 5.162 5.487 3.446 3.696 4.111 4.334 4.554 4.734 5.021 5.346 3.504 3.631 4.114 4.339 4.519 4.68 4.942 5.221 3.572 3.828 4.3 4.484 4.646 4.767 4.958 5.186 3.478 3.88 4.288 4.527 4.706 4.847 5.077 5.335 3.449 3.801 4.235 4.433 4.586 4.719 4.935 5.166 mean 3.5027297 3.6101622 4.1542703 4.6091081 5.0295676 5.3772973 5.9221892 6.3877568 stdev 0.4375347 0.3940677 0.4326772 0.4535547 0.483252 0.5190721 0.6131135 0.6632228
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Vasicek calibration to US spot rates theta = phi = sigma = lambda = 0.005569 0.959 0.000637 0 maturity n An Bn E(yn) Sample Mean 1 0 1.000 6.683 6.683 2 0.000228 1.959 6.683 #N/A 3 0.000675 2.879 6.683 7.039 4 0.00133 3.761 6.682 #N/A 5 0.002186 4.606 6.682 #N/A 6 0.003234 5.418 6.681 7.297 7 0.004465 6.195 6.680 #N/A 8 0.005872 6.941 6.679 #N/A 9 0.007447 7.657 6.679 7.441 10 0.009183 8.343 6.678 #N/A 11 0.011074 9.001 6.677 #N/A 12 0.013113 9.632 6.675 7.544 13 0.015293 10.237 6.674 #N/A 14 0.017609 10.817 6.673 #N/A 15 0.020056 11.374 6.672 #N/A 16 0.022626 11.907 6.671 #N/A 17 0.025316 12.419 6.669 #N/A 18 0.028121 12.910 6.668 #N/A 19 0.031035 13.381 6.667 #N/A 20 0.034054 13.832 6.665 #N/A 21 0.037173 14.265 6.664 #N/A 22 0.040389 14.680 6.662 #N/A 23 0.043697 15.078 6.661 #N/A 24 0.047094 15.460 6.660 7.819 25 0.050575 15.826 6.658 #N/A 26 0.054138 16.177 6.657 #N/A 27 0.057779 16.514 6.655 #N/A 28 0.061494 16.837 6.654 #N/A 29 0.065281 17.147 6.653 #N/A 30 0.069137 17.444 6.651 #N/A 31 0.073058 17.728 6.650 #N/A 32 0.077042 18.002 6.649 #N/A 33 0.081087 18.263 6.647 #N/A 34 0.085189 18.515 6.646 #N/A 35 0.089347 18.756 6.645 #N/A 36 0.093558 18.987 6.643 8.008 37 0.09782 19.208 6.642 #N/A 38 0.102131 19.421 6.641 #N/A 39 0.106489 19.624 6.639 #N/A 40 0.110892 19.820 6.638 #N/A 41 0.115337 20.007 6.637 #N/A 42 0.119824 20.187 6.636 #N/A 43 0.124351 20.359 6.634 #N/A 44 0.128916 20.524 6.633 #N/A 45 0.133516 20.683 6.632 #N/A 46 0.138152 20.835 6.631 #N/A 47 0.142821 20.981 6.630 #N/A 48 0.147523 21.121 6.629 8.148 49 0.152255 21.255 6.628 #N/A 50 0.157016 21.383 6.626 #N/A 51 0.161806 21.506 6.625 #N/A 52 0.166622 21.625 6.624 #N/A 53 0.171465 21.738 6.623 #N/A 54 0.176333 21.847 6.622 #N/A 55 0.181224 21.951 6.621 #N/A 56 0.186138 22.051 6.620 #N/A 57 0.191075 22.147 6.619 #N/A 58 0.196032 22.239 6.618 #N/A 59 0.201009 22.327 6.617 #N/A 60 0.206006 22.412 6.616 8.253 61 0.211022 22.493 6.616 #N/A 62 0.216055 22.571 6.615 #N/A 63 0.221105 22.645 6.614 #N/A 64 0.226171 22.717 6.613 #N/A 65 0.231254 22.785 6.612 #N/A 66 0.236351 22.851 6.611 #N/A 67 0.241463 22.914 6.610 #N/A 68 0.246588 22.975 6.610 #N/A 69 0.251727 23.033 6.609 #N/A 70 0.256878 23.089 6.608 #N/A 71 0.262042 23.142 6.607 #N/A 72 0.267217 23.193 6.606 #N/A 73 0.272404 23.242 6.606 #N/A 74 0.277601 23.289 6.605 #N/A 75 0.282809 23.334 6.604 #N/A 76 0.288026 23.378 6.603 #N/A 77 0.293253 23.419 6.603 #N/A 78 0.298489 23.459 6.602 #N/A 79 0.303734 23.497 6.601 #N/A 80 0.308987 23.534 6.601 #N/A 81 0.314248 23.569 6.600 #N/A 82 0.319517 23.603 6.599 #N/A 83 0.324793 23.635 6.599 #N/A 84 0.330076 23.666 6.598 8.398 85 0.335366 23.696 6.598 #N/A 86 0.340663 23.724 6.597 #N/A 87 0.345965 23.751 6.596 #N/A 88 0.351274 23.778 6.596 #N/A 89 0.356588 23.803 6.595 #N/A 90 0.361908 23.827 6.595 #N/A 91 0.367233 23.850 6.594 #N/A 92 0.372564 23.872 6.594 #N/A 93 0.377899 23.893 6.593 #N/A 94 0.383238 23.914 6.593 #N/A 95 0.388583 23.933 6.592 #N/A 96 0.393931 23.952 6.592 #N/A 97 0.399283 23.970 6.591 #N/A 98 0.40464 23.987 6.591 #N/A 99 0.41 24.004 6.590 #N/A 100 0.415364 24.019 6.590 #N/A 101 0.420731 24.035 6.589 #N/A 102 0.426102 24.049 6.589 #N/A 103 0.431476 24.063 6.588 #N/A 104 0.436853 24.077 6.588 #N/A 105 0.442232 24.090 6.587 #N/A 106 0.447615 24.102 6.587 #N/A 107 0.453 24.114 6.586 #N/A 108 0.458388 24.125 6.586 #N/A 109 0.463779 24.136 6.586 #N/A 110 0.469171 24.146 6.585 #N/A 111 0.474566 24.156 6.585 #N/A 112 0.479964 24.166 6.584 #N/A 113 0.485363 24.175 6.584 #N/A 114 0.490764 24.184 6.584 #N/A 115 0.496167 24.192 6.583 #N/A 116 0.501572 24.200 6.583 #N/A 117 0.506979 24.208 6.583 #N/A 118 0.512388 24.216 6.582 #N/A 119 0.517798 24.223 6.582 #N/A 120 0.52321 24.230 6.581 8.529 0 24 48 72 96 120 6 6.5 7 7.5 8 8.5 9 Mean Spot Rates: Data v. Vasicek Maturity in Months Spot Rate (%)
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